This proposal describes a three-year research project exploring novel methods and tools for hardware acceleration of financial computation in general, and for Monte Carlo simulation of financial models in particular. Our aim is to exploit the latest software and hardware technologies, particularly those based on advanced reconfigurable hardware such as FPGAs (Field-Programmable Gate Arrays), and to demonstrate the effectiveness of these technologies by applying them to overcome bottlenecks in current and future large-scale financial computation. The technical innovations of this project includes: (1) parameterisation, characterisation and efficient implementation of novel hardware architectures for financial computations; (2) exploitation of the latest software and hardware technologies, such as source-level transformation and advanced reconfigurable gate arrays; (3) techniques for reducing heat dissipation by extensive pipelining, (4) elements for an evolutionary approach to support hardware acceleration for financial analysis, such as adoption of commercial FPGA platforms, facilities to make the technology accessible to finance experts, comparison of standard fixed-point and floating point arithmetic, incremental compilation, and interface to grid technology; (5) elements for a disruptive approach to support hardware acceleration, such as run-time optimisation, coarse-grained devices, non-standard arithmetic, new application opportunities such as real-time risk analysis, and new platform and chip architectures; (6) static and dynamic customisations for adapting architectures to changes in environmental conditions to maintain effective operation, while meeting various constraints such as performance and power consumption; (7) prototype development frameworks for designing and deploying novel architectures supporting financial computations, by combining and specialising our libraries and tools; (8) large-scale applications, based on our experience in financial simulation, to drive the development of architectures and tools for novel computations.

High Performance Embedded and Distributed Systems (HiPEDS), ranging from implantable smart sensors to secure cloud service providers, offer exciting benefits to society and great opportunities for wealth creation. Although currently UK is the world leader for many technologies underpinning such systems, there is a major threat which comes from the need not only to develop good solutions for sharply focused problems, but also to embed such solutions into complex systems with many diverse aspects, such as power minimisation, performance optimisation, digital and analogue circuitry, security, dependability, analysis and verification. The narrow focus of conventional UK PhD programmes cannot bridge the skills gap that would address this threat to the UK's leadership of HiPEDS. The proposed Centre for Doctoral Training (CDT) aims to train a new generation of leaders with a systems perspective who can transform research and industry involving HiPEDS. The CDT provides a structured and vibrant training programme to train PhD students to gain expertise in a broad range of system issues, to integrate and innovate across multiple layers of the system development stack, to maximise the impact of their work, and to acquire creativity, communication, and entrepreneurial skills. The taught programme comprises a series of modules that combine technical training with group projects addressing team skills and system integration issues. Additional courses and events are designed to cover students' personal development and career needs. Such a comprehensive programme is based on aligning the research-oriented elements of the training programme, an industrial internship, and rigorous doctoral research. Our focus in this CDT is on applying two cross-layer research themes: design and optimisation, and analysis and verification, to three key application areas: healthcare systems, smart cities, and the information society. Healthcare systems cover implantable and wearable sensors and their operation as an on-body system, interactions with hospital and primary care systems and medical personnel, and medical imaging and robotic surgery systems. Smart cities cover infrastructure monitoring and actuation components, including smart utilities and smart grid at unprecedented scales. Information society covers technologies for extracting, processing and distributing information for societal benefits; they include many-core and reconfigurable systems targeting a wide range of applications, from vision-based domestic appliances to public and private cloud systems for finance, social networking, and various web services. Graduates from this CDT will be aware of the challenges faced by industry and their impact. Through their broad and deep training, they will be able to address the disconnect between research prototypes and production environments, evaluate research results in realistic situations, assess design tradeoffs based on both practical constraints and theoretical models, and provide rapid translation of promising ideas into production environments. They will have the appropriate systems perspective as well as the vision and skills to become leaders in their field, capable of world-class research and its exploitation to become a global commercial success.

SONNETS - Scalability Oriented Novel Networks of Event Triggered Systems - takes a clean-slate approach to next-generation computer modelling and artificial intelligence. To drive this we have an over-arching research goal that is both nationally important and challenging: real-time modelling of UK financial risk. It is easy to identify underlying risks after they cause a financial crisis. With hindsight, the 2008 financial crash was caused by too many banks buying too many risky mortgages. Whilst the crisis was unfolding it was all new information: no-one realised how many banks owned the risky mortgages. Then it was assumed that mortgage defaults were unlikely. Finally, it was assumed that losses in a few banks would not affect the national economy. The problem was a lack of visibility and understanding of the national picture: each bank appeared to have a manageable risk level, but most banks in the UK were exposed to the same underlying risk factor, so once mortgages started defaulting most banks started losing money and a perfect financial storm developed. What we needed then, and still do now, is national-level risk modelling that can consider risk across banks as it occurs. Modelling risk for one bank is a difficult problem, and modelling the entire UK is much harder. Banks have complex constantly changing portfolios, so building a picture of "who owns what" means tracking millions of trades per day. Even if we have that picture we still need to somehow assess risk, but that requires anticipating the future: we must pre-emptively identify potential scenarios, then estimate how much is lost in each scenario. Currently regulators use "stress tests" to identify national risk - they define a possible challenging economic scenario, then ask all the banks to estimate how much they might lose. However, this is both slow - the process takes months - and limited - they only explore one very severe scenario, which probably isn't the one that causes the problem. SONNETS will create a system that performs national-level risk analysis in real-time, by building a "digital twin" of the UK's financial system and using it to continually generate plausible future scenarios and assess their risk. We then use artificial intelligence to learn what risky scenarios look like. This gives regulators completely new tools: - A day-by-day view of the current national-risk of the UK, rather than waiting months for stress tests; - The ability to look forwards to identify and mitigate previously unknown risks as they develop, rather than waiting for a financial crisis to reveal them. We tackle this problem by addressing challenges in three main areas: - Computing: new paradigms for creating and running programs, exploiting multiple types of computer hardware distributed across the cloud; - Artificial Intelligence: methods for continual learning that can be split into multiple pieces, so that learning processes can be moved closer to the data they are learning from; - Modelling: theory and tools for automatic scenario generation, plus the ability to assess risk over large-scale models of the UK's financial institutions. These three areas are tightly linked, with the new computing paradigms supporting execution of the new AI and modelling in the cloud, and a synergistic relationship between the modelling of the system and learning about the model. Underpinning these three areas is the idea of event-triggered computing, where programs are split up into small fragments which send messages to each other. Using this event-triggered approach we can scale the risk analysis system up to support national-level risk analysis. It will constantly assess how risky the UK currently is, while trying to anticipate what scenarios might lead to financial crises in the future. SONNETS will provide a powerful tool to detect and mitigate financial risk as it is building up, rather than trying to react to a financial crisis once it happens.