[R-SIG-Finance] Use of sorting in Financial Domain

[Joshua Reich]

Extending the question further, I assume that bitonic sorting makes
sense when you have access to a SIMD platform, such as in a GPU.

I have been playing with porting some of my code to NVIDA's CUDA
platform, and I'd love to hear if other people have had much success. If
I recall correctly, I had discussed this on the list in the past and we
discussed using CUDA BLAS over default installations. Has anyone moved
CUDA into a production environment? If so, how has it fared? If not, why
not?

Josh Reich

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Brian G.
Peterson
Sent: Wednesday, September 24, 2008 6:08 AM
To: subramanian R
Cc: r-sig-finance at stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] Use of sorting in Financial Domain

On Wed, 2008-09-24 at 11:37 +0530, subramanian R wrote:
> Hi All,
> The *sort() *command in R has two methods (method specification is an
> optional parameter)
> 1.shell sort(default)
> 2.quick sort
> and order() has 1 extra method
> 3.radix sort.
> 
> In our multicore architecture we have some optimized implementations
of
> several sorting methods like Bitonic sort that is not supported by
R.It is
> faster than quick sort in most cases in our architecture.
> 
> I have two questions in this regard with respect to financial domain.
> 
> How much sorting is used in this domain?
> In those cases what type of sorting is used?
> Will it help if a seperate R command for bitonic sort is implemented
and
> override the default one?
> Are there any specific packages used by Financial sector where
optimized
> sorting techniques have been implemented?

Sorting is often used in financial time series: e.g. to examine
drawdowns, or to extract a quantile of an observed series or a monte
carlo simulation.

Implementation of additional parallel sort algorithms in R such as
Batcher's bitonic sort seems as though it could be valuable in financial
time series.

I'm not aware of additional sorting implementations in R specific to
finance, most finance specific functionality uses R general functions
such as sort() and order() 

It seems that your implementation would be best proposed as a patch to
one of these functions on the r-devel list, or alternately contained in
an optimized sorting package that could overload the standard functions
with a new implementation.

Regards,

   - Brian

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