Parallel computing strategies in the analysis of the inhibiting effect of price limits on futures prices

In futures markets with price limits, trading halts are triggered by limit hits. Limit hits are rarely observed, perhaps because traders avoid bid-ask quotes that cause them. If this explanation is true, futures prices would cluster in a narrow region close to the limits. We test this empirically for currency futures contracts and find results consistent with the explanation. The tests require calculations of all combinations of a computationally intensive time series, which are extremely time consuming on a sequential machine and hence limit the practicality of the analysis. Consequently, we investigate parallel computing strategies in partitioning the datasets and solving them in parallel on a high-end Beowulf cluster. We discuss two different partitioning strategies of the given datasets on the cluster and elaborate the results. Copyright (c) 2012 John Wiley & Sons, Ltd.