Use of sorting in Financial Domain

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

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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