Analysis of executable graph model

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Dr. Mezei Gergely
Department of Automation and Applied Informatics

Environment changes rapidly these days – technologies of today will be obsolete tomorrow, meadows become metropolises in years and even into the seas new islands can be built. This rapid lifestyle is reflected in everyday life as well. Fast-food restaurants, fast cars, speed fitness are usual words today, in every corners of our life we can feel the rapidity. In financial sector agility is more out-standing. People open and close bank accounts online in about 10 minutes or buy stocks from many different companies in a flash. To remain competitive in such environment, banks like Morgan Stanley has only one choice: be the quickest player on the market. Morgan Stanley realized this fact and puts serious effort into their research activity.

Pricing of the available assets on the market is a very complex task and it is also very important to do it quickly. Calculating a meaningful prices one second before another participants of the market means clear business advantages. My thesis is intended to analyze the possibility to model pricing process using graphs and find an effective way to execute the constructed model.

Taking the very first step, I started analyzing graph structures and algorithms, distributed system architectures, scheduling algorithms and possible executing models. My focus was caught by the execution models as I saw improvement possibilities in the usual implementations and innovation possibilities for example executing the graphs on FPGAs.

During my work I wanted to keep the expressiveness of the original reference model but I also wanted to improve the performance. My intentions ended up in implementing an expressive reference model, an effective execution model and a compiler which transforms one model into another.

In the testing phase, I measured 20% performance improvement in average in non-distributed environment compared to the original reference model. In distributed environment, using an advanced schedulers, the improvement compared to the original model is even more outstanding.

At the end of my thesis, I listed a couple of development opportunities, which would make the performance even better and the system more user-friendly.


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