Topic: BFL Single - Monte Carlo (Read 2534 times)

Doing floating-point calculations on FPGAs is quite inefficient use of the resources. Therefore most of the numerical modeling software (including Monte Carlo methods) is not easily portable into FPGAs. In order to get sensible FPGA resource utilization you have to rewrite your software to use fixed-point or other specific hardware-efficient representation. This is nontrivial undertaking.

Probably overkill for a individual trader... monte carlo sims are usually used to revalue your derivative positions against a large number of statistically generated possible market variables, giving a set of positions that can be statistically analysed to work out the worst-case scenario for your positions at the 95% confidence level (or whatever your risk appetite is).

Well it's been a long time since I did credit risk That was with a cluster of Pentium Pros - all you'd get with FPGAs (assuming you could program the bitstream to implement the valuation algo you particularly prefer) is the ability to run a large number of sim-sets (and hence statistically have a better view of your position risk), hopefully in real-time. After all, all you're doing is running your valuation algorithm for your derivatives against a large number of different possible market scenarios.

And that's the kicker. What's the valuation algo? Well, that depends both on the derivative you're trading, and any proprietary val that you've cooked up in Excel. Translating this Excel rocket-science valuation algo onto an FPGA bitstream would show *awesome* skillz if you understood both the trading, the product, the valuation algo AND the EE stuff needed to program FPGAs... I doubt that you'd be here asking questions like that if you *did* know it all

I guess BFL could provide a basic implementation of Black-Scholes - but markets have moved on since that was an effective options val purely because BS assumes the concept of the 'risk-free rate' (as per many other older asset valuation models), and recent developments in the sovereign debt markets have made that concept somewhat nonsensical. Risk has popped up and 'assumptions' are the mother of all clusterfucks. There are other issues with it too but this isn't a hedge-fund forum.


You're right though - being able to program your custom valuation algo into an FPGA bitstream and use your ex-BTC-mining-farm to provide real-time high-resolution risk numbers would make derivs trading somewhat less casino-like, regardless of the name of the technology used

(of course, I could be talking like a dinosaur since it's been 10 years since I did this stuff)

Indeed. It seems they provide this to attract large customers for their BFL units but I think this will not appeal to many becuase the costs of "custom" solutions is often significant.

Them 'drivers'

http://www.butterflylabs.com/drivers/

Interested in what you do with this BUT I doubt you will get far.

The Monte Carlo and other bitstreams is just a pathetic excuse for them to promote this as "not only a BTC miner" ( which it blatantly is ) but that it can also do other things.

Interested in what you do with this BUT I doubt you will get far.

The Monte Carlo and other bitstreams is just a pathetic excuse for them to promote this as "not only a BTC miner" ( which it blatantly is ) but that it can also do other things.

Hi Colin,

MonteCarlo calculation firmware are a custom function which is built on contract specific to the end use needed.

Kind regards,
Sonny K
BF Labs Inc.

The BFL singles use an unknown chip with encrypted single purpose bitstream.  BFL indicated probing via JTAG wouldn't work which would indicate some other form of card level obfuscation/encryption/security.  Exactly how hard it is to bypass is unknown.  Obviously once someone gets a BFL Single there is significant time value.  Tinkering with it means no revenue so it isn't surprising that we haven't seen any users reporting details. 

So right now you can mine with it and nothing else unless either BFL provides programming information and/or someone does some reverse engineering/hacking.

I'm not sure that it actually comes with it, have you contacted them about the specifics? It would need a firmware other than the usual bitcoin mining firmware.

I'm not sure that it actually comes with it, have you contacted them about the specifics? It would need a firmware other than the usual bitcoin mining firmware.

I have used Monte Carlo simulation in my actuarial studies.  No real world applications as I don't work with investments (assuming that would have an application there).

I'm interested in this idea.  If the difficulty goes way up, it'd be nice to know I can use my BFL single for something other than a paper weight. 

I just ordered my first BFL single I'm excited by the other real world applications this might have, while I am a programmer and could learn to do my own FPGA algos, the BFL Single comes with some sort of monte carlo application.

I'm hoping I could use this in my custom trading software. Anybody else think this could work? It would be awesome if I could still make use of this sucker if the difficulty skyrockets. Has anybody tried using monte carlo for forcasting? (This also might not be the right forum)