Resumo

HENDRICKS, Dieter; GEBBIE, Tim  e  WILCOX, Diane. High-speed detection of emergent market clustering via an unsupervised parallel genetic algorithm. S. Afr. j. sci. [online]. 2016, vol.112, n.1-2, pp.01-09. ISSN 1996-7489.  http://dx.doi.org/10.17159/sajs.2016/20140340.

We implement a master-slave parallel genetic algorithm with a bespoke log-likelihood fitness function to identify emergent clusters within price evolutions. We use graphics processing units (GPUs) to implement a parallel genetic algorithm and visualise the results using disjoint minimal spanning trees. We demonstrate that our GPU parallel genetic algorithm, implemented on a commercially available general purpose GPU, is able to recover stock clusters in sub-second speed, based on a subset of stocks in the South African market. This approach represents a pragmatic choice for low-cost, scalable parallel computing and is significantly faster than a prototype serial implementation in an optimised C-based fourth-generation programming language, although the results are not directly comparable because of compiler differences. Combined with fast online intraday correlation matrix estimation from high frequency data for cluster identification, the proposed implementation offers cost-effective, near-real-time risk assessment for financial practitioners.

Palavras-chave : unsupervised clustering; genetic algorithms; parallel algorithms; financial data processing; maximum likelihood clustering.

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