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PlayStation 3 Processor Speeds Financial-Risk Calculation

Georgia Tech's parallel processing code for PlayStation 3's Cell processor makes mountains of random numbers to improve Value-at-Risk and other important algorithms

3 min read

19 November 2008—Of the many things that have gone wrong on Wall Street this past year, the use and misuse of computational algorithms meant to give financiers a clear picture of the risk of big losses was one of them. One important calculation, called Value-at-Risk (VaR), is a way of assessing the probability that an investment portfolio will lose a specified value over a certain period of time. Though VaR’s reputation is much maligned, experts say firms have little choice but to continue, if not accelerate, their use of computational algorithms as the need to calculate risk and value has become more acute. The surviving financial firms might get a little help from code produced for Cell, the processor behind Sony’s PlayStation 3 as well as a number of high-end IBM servers and supercomputers.

By taking advantage of Cell’s unique architecture, computer scientists at Georgia Tech, in Atlanta, say they have found a way to accelerate the generation of random numbers up to 33-fold compared with what’s possible using commercially available Intel or AMD processors. Random-number generation is key to many so-called Monte Carlo simulations, but as a proof of concept, the researchers built their random-number generator into a program that efficiently runs a VaR algorithm. David A. Bader, executive director of high-performance computing at Georgia Tech, says his group has been working with several financial firms, whose names he would not disclose due to legal agreements, on their use of the VaR software. Bader says the source code behind the random-number generators for Cell will be made available during the SC08 supercomputing conference this week in Austin, Texas.

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The Transistor at 75

The past, present, and future of the modern world’s most important invention

2 min read
A photo of a birthday cake with 75 written on it.
Lisa Sheehan

Seventy-five years is a long time. It’s so long that most of us don’t remember a time before the transistor, and long enough for many engineers to have devoted entire careers to its use and development. In honor of this most important of technological achievements, this issue’s package of articles explores the transistor’s historical journey and potential future.

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