{"id":"https://openalex.org/W2147180671","doi":"https://doi.org/10.1145/1645413.1645418","title":"Acceleration of market value-at-risk estimation","display_name":"Acceleration of market value-at-risk estimation","publication_year":2009,"publication_date":"2009-11-15","ids":{"openalex":"https://openalex.org/W2147180671","doi":"https://doi.org/10.1145/1645413.1645418","mag":"2147180671"},"language":"en","primary_location":{"id":"doi:10.1145/1645413.1645418","is_oa":false,"landing_page_url":"https://doi.org/10.1145/1645413.1645418","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2nd Workshop on High Performance Computational Finance","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036435050","display_name":"Matthew Dixon","orcid":"https://orcid.org/0000-0001-5908-1747"},"institutions":[{"id":"https://openalex.org/I84218800","display_name":"University of California, Davis","ror":"https://ror.org/05rrcem69","country_code":"US","type":"education","lineage":["https://openalex.org/I84218800"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Matthew Dixon","raw_affiliation_strings":["UC Davis, CA"],"affiliations":[{"raw_affiliation_string":"UC Davis, CA","institution_ids":["https://openalex.org/I84218800"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5110429803","display_name":"Jike Chong","orcid":null},"institutions":[{"id":"https://openalex.org/I95457486","display_name":"University of California, Berkeley","ror":"https://ror.org/01an7q238","country_code":"US","type":"education","lineage":["https://openalex.org/I95457486"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jike Chong","raw_affiliation_strings":["Center for Innovative Financial Technologies, UC Berkeley, CA"],"affiliations":[{"raw_affiliation_string":"Center for Innovative Financial Technologies, UC Berkeley, CA","institution_ids":["https://openalex.org/I95457486"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5047285420","display_name":"Kurt Keutzer","orcid":"https://orcid.org/0000-0003-3868-8501"},"institutions":[{"id":"https://openalex.org/I95457486","display_name":"University of California, Berkeley","ror":"https://ror.org/01an7q238","country_code":"US","type":"education","lineage":["https://openalex.org/I95457486"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Kurt Keutzer","raw_affiliation_strings":["Center for Innovative Financial Technologies, UC Berkeley, CA"],"affiliations":[{"raw_affiliation_string":"Center for Innovative Financial Technologies, UC Berkeley, CA","institution_ids":["https://openalex.org/I95457486"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5036435050"],"corresponding_institution_ids":["https://openalex.org/I84218800"],"apc_list":null,"apc_paid":null,"fwci":3.5105,"has_fulltext":false,"cited_by_count":20,"citation_normalized_percentile":{"value":0.93556002,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"1","last_page":"8"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9919999837875366,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9919999837875366,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.964900016784668,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9598000049591064,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/acceleration","display_name":"Acceleration","score":0.8472347855567932},{"id":"https://openalex.org/keywords/hedge","display_name":"Hedge","score":0.712011456489563},{"id":"https://openalex.org/keywords/estimation","display_name":"Estimation","score":0.7107961177825928},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.621894359588623},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5535090565681458},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5392341613769531},{"id":"https://openalex.org/keywords/derivatives-market","display_name":"Derivatives market","score":0.48308804631233215},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.47071024775505066},{"id":"https://openalex.org/keywords/derivative","display_name":"Derivative (finance)","score":0.4600318670272827},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.447978138923645},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.2856482267379761},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.2818787395954132},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2768558859825134},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.22479313611984253},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.16978785395622253},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.14246228337287903},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.13696163892745972},{"id":"https://openalex.org/keywords/futures-contract","display_name":"Futures contract","score":0.10560792684555054}],"concepts":[{"id":"https://openalex.org/C117896860","wikidata":"https://www.wikidata.org/wiki/Q11376","display_name":"Acceleration","level":2,"score":0.8472347855567932},{"id":"https://openalex.org/C70771513","wikidata":"https://www.wikidata.org/wiki/Q235779","display_name":"Hedge","level":2,"score":0.712011456489563},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.7107961177825928},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.621894359588623},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5535090565681458},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5392341613769531},{"id":"https://openalex.org/C95727064","wikidata":"https://www.wikidata.org/wiki/Q1934287","display_name":"Derivatives market","level":3,"score":0.48308804631233215},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.47071024775505066},{"id":"https://openalex.org/C111771559","wikidata":"https://www.wikidata.org/wiki/Q66295","display_name":"Derivative (finance)","level":2,"score":0.4600318670272827},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.447978138923645},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.2856482267379761},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.2818787395954132},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2768558859825134},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.22479313611984253},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.16978785395622253},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.14246228337287903},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.13696163892745972},{"id":"https://openalex.org/C106306483","wikidata":"https://www.wikidata.org/wiki/Q183984","display_name":"Futures contract","level":2,"score":0.10560792684555054},{"id":"https://openalex.org/C18903297","wikidata":"https://www.wikidata.org/wiki/Q7150","display_name":"Ecology","level":1,"score":0.0},{"id":"https://openalex.org/C74650414","wikidata":"https://www.wikidata.org/wiki/Q11397","display_name":"Classical mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/1645413.1645418","is_oa":false,"landing_page_url":"https://doi.org/10.1145/1645413.1645418","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2nd Workshop on High Performance Computational Finance","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W39759813","https://openalex.org/W634268569","https://openalex.org/W1551275368","https://openalex.org/W1602773783","https://openalex.org/W1971362449","https://openalex.org/W2030109021","https://openalex.org/W2034107358","https://openalex.org/W2035743118","https://openalex.org/W2040213768","https://openalex.org/W2040370172","https://openalex.org/W2055841872","https://openalex.org/W2060622903","https://openalex.org/W2110930696","https://openalex.org/W2118197580","https://openalex.org/W2119982803","https://openalex.org/W2134321573","https://openalex.org/W2158316079","https://openalex.org/W4239362124"],"related_works":["https://openalex.org/W4241789437","https://openalex.org/W3136006266","https://openalex.org/W4312431580","https://openalex.org/W2064268157","https://openalex.org/W4309960676","https://openalex.org/W4254313678","https://openalex.org/W1701575855","https://openalex.org/W2688184208","https://openalex.org/W3125546594","https://openalex.org/W1989914982"],"abstract_inverted_index":{"The":[0],"proliferation":[1],"of":[2,15,24],"algorithmic":[3],"trading,":[4],"derivative":[5],"usage":[6],"and":[7],"highly":[8],"leveraged":[9],"hedge":[10],"funds":[11],"necessitates":[12],"the":[13,22],"acceleration":[14],"market":[16,40],"Value-at-Risk":[17],"(VaR)":[18],"estimation":[19,42],"to":[20,38],"measure":[21],"severity":[23],"portfolios":[25],"losses.":[26],"This":[27],"paper":[28],"demonstrates":[29],"how":[30],"solely":[31],"relying":[32],"on":[33],"advances":[34],"in":[35],"computer":[36],"hardware":[37],"accelerate":[39],"VaR":[41],"overlooks":[43],"significant":[44],"opportunities":[45],"for":[46],"acceleration.":[47]},"counts_by_year":[{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":2}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
