I am involved in hpc especially with clusters and distributed systems API, such as MPI. I also have a big interest in the quant finance sector. Could anyone point me in the right direction, I know supercomputing is big on wall street. Any certain vendors or firms big on hpc or any other advice. I am looking for possibly a summer 11 internship where I can bring my interests in hpc and finance together.
HPC in finance
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DominiConnor
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The trick here is getting the right job in financial HPC...
A lot of HPC jobs are as operators, not programmers, and you really don't want to be there.
I assume you've sussed threaded C++ ?
Beyond that you've hit a point where the ways forward are poorly defined...
What I observe is a horde of poorly trained quants hacking away at HPC systems that they barely understand, and nailing things together based upon random things they've read on the web.
Conversely, the people who actually understand HPC typically don't understand quant stuff.
This is slowly maturing into teams that merge math and programming skills, but that is very much the exception not the rule.
By default an HPC guy is mostly likely to be sucked into corporate IT, paid badly and treated like a chimp. That is probably changing, but as professional reciepient of lies, I have to report this is said more than done.
This makes plotting a career structure really very tough.
Since I know nothing about nociton, I have to make some assumptions about his background.
The next thing he needs to read is is Duffy's book on Monte Carlo Amazon.com: Monte Carlo Frameworks: Building Customisable High-performance C++ Applications (The Wiley Finance Series) (9780470060698): Daniel J. Duffy, Joerg Kienitz: Books
A depressing % of HPC is running MC, so you need to master that.
A lot of HPC jobs are as operators, not programmers, and you really don't want to be there.
I assume you've sussed threaded C++ ?
Beyond that you've hit a point where the ways forward are poorly defined...
What I observe is a horde of poorly trained quants hacking away at HPC systems that they barely understand, and nailing things together based upon random things they've read on the web.
Conversely, the people who actually understand HPC typically don't understand quant stuff.
This is slowly maturing into teams that merge math and programming skills, but that is very much the exception not the rule.
By default an HPC guy is mostly likely to be sucked into corporate IT, paid badly and treated like a chimp. That is probably changing, but as professional reciepient of lies, I have to report this is said more than done.
This makes plotting a career structure really very tough.
Since I know nothing about nociton, I have to make some assumptions about his background.
The next thing he needs to read is is Duffy's book on Monte Carlo Amazon.com: Monte Carlo Frameworks: Building Customisable High-performance C++ Applications (The Wiley Finance Series) (9780470060698): Daniel J. Duffy, Joerg Kienitz: Books
A depressing % of HPC is running MC, so you need to master that.
Thank you for the response. So the field of hpc in finance is dominated by multithreaded C. I am more into message passing for clusters or CUDA for gpu's speedup. I guess I should learn multiC then.
I am only a junior in undergrad who is pursuing bs/ms in comp. applied math, heavy on the high performance computing, then i plan on pursuing either more schooling in computer science of a mfe if I can get into a good program. So we are talking 3-5 years down the line, hopefully by then there wont be such a distinct line between quants and hpc tech guys, and my skills will be sought after.
I am only a junior in undergrad who is pursuing bs/ms in comp. applied math, heavy on the high performance computing, then i plan on pursuing either more schooling in computer science of a mfe if I can get into a good program. So we are talking 3-5 years down the line, hopefully by then there wont be such a distinct line between quants and hpc tech guys, and my skills will be sought after.
Daniel Duffy
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"So we are talking 3-5 years down the line, hopefully by then there wont be such a distinct line between quants and hpc tech guys, and my skills will be sought after. "
Adding to Dominic's post, here is my take:
I think you need to choose between either HPC or quant in order to do them justice.
Ideally, knowing what numerical analysis is and how to do it on multi-core is an advantage. In science, HPC gurus tend to be physicists, astronomers etc.
So, that's 3 area of expertise; I personally know no one who knows all 3.
Adding to Dominic's post, here is my take:
I think you need to choose between either HPC or quant in order to do them justice.
Ideally, knowing what numerical analysis is and how to do it on multi-core is an advantage. In science, HPC gurus tend to be physicists, astronomers etc.
So, that's 3 area of expertise; I personally know no one who knows all 3.
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