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Faculty of Economics

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Funie, A-I., Grigoras, P., Burovskiy, P., Luk, W. and Salmon, M.

Run-time Reconfigurable Acceleration for Genetic Programming Fitness Evaluation in Trading Strategies

Journal of Signal Processing Systems

Vol. 90(1) pp. 39-52 (2018)

Abstract: Genetic programming can be used to identify complex patterns in financial markets which may lead to more advanced trading strategies. However, the computationally intensive nature of genetic programming makes it difficult to apply to real world problems, particularly in real-time constrained scenarios. In this work we propose the use of Field Programmable Gate Array technology to accelerate the fitness evaluation step, one of the most computationally demanding operations in genetic programming. We propose to develop a fully-pipelined, mixed precision design using run-time reconfiguration to accelerate fitness evaluation. We show that run-time reconfiguration can reduce resource consumption by a factor of 2 compared to previous solutions on certain configurations. The proposed design is up to 22 times faster than an optimised, multithreaded software implementation while achieving comparable financial returns.

Author links: Mark Salmon  

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