An FPGA-Based Data Flow Engine for Gaussian Copula Model

Abstract

The Gaussian Copula Model (GCM) plays an important role in the state-of-the-art financial analysis field for modeling the dependence of financial assets. However, the existing implementations of GCM are all computationallydemanding and time-consuming. In this paper, we propose a Dataflow Engine (DFE) design to accelerate the GCM computation. Specifically, a commonly used CPU-friendly GCM algorithm is converted into a fully-pipelined dataflow graph through four steps of optimization: recomposing the algorithm to be pipeline-friendly, removing unnecessary computation, sharing common computing results, and reducing the computing precision while maintaining the same level of accuracy for the computation results. The performance of the proposed DFE design is compared with three CPU-based implementations that are well-optimized. Experimental results show that our DFE solution not only generates fairly accurate result, but also achieves a maximum of 467x speedup over a single-thread CPU-based solution, 120x speedup over a multi-thread CPUbased solution, and 47x speedup over an MPI-based solution.