Professor David Lariviere
Clinical Professor
Financial Engineering
University of Illinois at Urbana-Champaign
Position: Professor David Lariviere is a Clinical Professor at the University of Illinois at Urbana-Champaign. Professor Lariviere is also the Founder and Director of the FinTech Lab at the University.
Affiliations:
Prof. Lariviere is affiliated with the Master of Science in Financial Engineering (MSFE) Program under both the Grainger College of Engineering via the Industrial & Enterprise Systems Engineering (ISE) Department and the Gies College of Business via the Finance Department.
Background:
Professor Lariviere received both his B.S. and M.S. in Computer Science (specializing in Artificial Intelligence and Computer Vision) from Columbia University in the City of New York. Prof. Lariviere also previously served as an Assistant Adjunct Professor, Lecturer, and Teaching Assistant in the Computer Science and Electrical Engineering Departments at Columbia University.
Links:
Teaching:
- University of Illinois at Urbana-Champaign - Depts. of Finance and ISE
- Fall 2024
- Fall 2024 - IE421 - High Frequency Trading Technology
- Group 01 - AWS Wireshark
- Group 02 - Financial Market Data Loader for PCaps to Strategy Studio Backtester and OneTick Financial Timeseries Database
- Group 03 - OrderBook and Packet Visualization in Virtual Reality
- Group 04 - Real-Time Liquidity Comparison Dashboard for Centralized and Decentralized Crypto Exchanges
- Group 05 - Multi-exchange Cryptocurrency Data Analysis - VAR Model and Granger Causality
- Group 06 - IEX PCAP Compression Algorithm
- Group 07 - Deep Learning, XGBoost, Feature Engineering for IEX Cash Equities Trading Strategies
- Group 08 - Kalshi Event Markets Data Feed Ticker Plant and Market Data Recorder
- Group 09 - Synthetic Market Data Generator and Simulator (Heston, Jump Diffusion, Regime Switching, and Geometric Brownian Motion Models)
- Group 10 - Raspberry Pi Based GPS and PTP Timing Server
- Group 11 - FPGA Development Environment and Board-bring up for the AMD Xilinx U55c
- Group 12 - FPGA and HLS (High Level Synthesis) Development
- Group 13 - Triangular Cryptocurrency Arbitrage Trading System - Data Capture, Machine Learning, and Backtesting
- Group 15 - Quant-Lab-In-A-Box (QLIAB) - Jenkins-based CI/CD Pipeline for Strategy Backtesting
- Group 17 - Neural Network-Based High-Frequency Trading System Using Advanced Predictive Models and Optimized Infrastructure - LSTM, Transformer, and Temporal Fusion Transformer
- Group 18 - Automated Batch Auction Solver for CoW Protocol
- Group 19 - Kernel-Bypass and Latency Tuning and Optimization of the AMD EPYC 4564P 16-Core Processor @ 5.88GHz coupled with AMD Alveo X3522 10/25Gbps NIC
- Group 20 - Lead/Lag Relationships across Cryptocurrency Pairs
- Group 21 - Analysis of Potential Development of an Egyptian-based Trading Firm
- Fall 2024 - FIN556 - Algorithmic Market Microstructure
- Fall 2024 - IE497 - Independent Study
- Fall 2024 - IE597 - Independent Study
- Spring 2024:
- Spring 2024 - IE421 ONL - High Frequency Trading Technology
- Group 01 - Raspberry Pi 5 and Compute Module 4 GPS Grandmaster Development
- Group 02 - AWS Cloud Pcap (packet capture) for AWS EC2 and Traffic Mirroring
- Group 03 - Automated Vagrant-based Deployment of OneTick Database Finacial Timeseries Database with Strategy Studio Backtester
- Group 04 - Cryptocurrency Strategy Backtester with Maker/Taker Fees, Leverage, etc
- Group 05 - Frame Capture and Analysis of Multiple Broker-Dealers Web UI's market data latency
- Group 06 - Accurate Positioning from Raw GPS Data: A Deep Learning Approach to Enhance Speed and Precision in High Frequency Trading
- Group 07 - Cryptocurrency Price Prediction using ML
- Group 08 - Market Data Capture and Analysis from Various Sources (Bloomberg Terminal, Alpaca, IBKR, etc)
- Group 09 - Shortwave Radio Frequency Communications for Low Latency Tranmission of Data (they earned HAM FCC licenses too!)
- Group 10 - MLFlow and PyTorch LSTM (Long Short-Term Memory) and GRU (Gated Recurrent Unit) Price Prediction using Cluster
- Group 11 - AWS Low Latency Network Communication Tuning Guide
- Group 12 - Decision Trees for Stock Price Prediction
- Group 13 - Zabbix-based Monitoring of Data Centers (IPMI, SNMP, BMC, etc)
- Group 15 - Crypto Market Microstructure Analysis
- Spring 2024 - IE420 GU - Financial Engineering
- Spring 2024 - IE497 DL - Independent Study
- Spring 2024 - IE597 DAL - Independent Study
- Fall 2023
- Fall 2023 - FIN556 ONL - Algorithmic Market Microstructure: link.
- Fall 2023 - IE421 ONL - High Frequency Trading Technology: link.
-
Team Semester Project Gitlab Repos:
-
Group 01 - Reducing Latency in Crypto Exchange Networks - A Focus on Binance
- Group 02 - MySQL Tick Database and Analysis of IEX Market Data (stock correlations, spreads, order flow imbalances, depth of book, and VWAP)
- Group 03 - KrakenBook3D: Web-based 3D visualization of all financial instruments in the Kraken Crypto Exchange
- Group 04 - Real-time Web 3D Visualization of GPS and GNSS satellite networks and vital stats
- Group 05 - GeoPi: Data warehouse for Raspberry pi-based GNSS Systems
- Group 06 - FPGA-based Packet Processing and Depth of Book Building Tickerplant
- Group 07 - Application of HFT Network Latency Tuning to Rasperry Pi-based GPS/PTP Grandmaster
- Fall 2023 - IE598 CSQ - CS for Quants: link.
- Fall 2023 - IE597 DAL - Independent Study
- Spring 2023:
- Spring 2023 - IE421 ONL - High Frequency Trading Technology: link.
-
Team Semester Project Gitlab Repos:
- Group 01 - Crypto Market Lead-Lag Analysis: Exploring Cross-Exchange and Intra-Exchange Cryptocurrency Correlations
- Group 02 - Enabling Python Bindings for Strategy Studio and PNL/Positions Visualization
- Group 03 - PoCs for various ETL and DAG based data flows (Apache Airflow, Prefect, and Toil)
- Group 04 - G4 Netcap: React/Web-based UI for Packet Capture Decoding, Analysis, and Latency
- Group 05 - Network-based Booting of RAM Drive Linux Images (PXE, iSCSI)
- Group 06 - ChatGPT-Powered Discord Bot
- Group 07 - Board Bringup and FPGA development on the UIUC HACC Cluster
- Spring 2023 - IE420 GU - Financial Engineering: link.
- Spring 2023 - IE598 CSQ - CS for Quants:
link.
- Spring 2023 - IE497 DL - Independent Study: link.
- Spring 2023 - IE597 DAL - Independent Study: link.
- Fall 2022:
- Fall 2022 - FIN556 ONL - Algorithmic Market Microstructure: link.
- Fall 2022 - IE421 ONL - High Frequency Trading Technology: link.
-
Team Semester Project Gitlab Repos:
- Group 01 - Crypto Market Lead-Lag Analysis: Exploring Cross-Exchange and Intra-Exchange Cryptocurrency Correlations
- Group 02 - C++ based Matching Engine and Market Simulator / Backtester
- Group 03 - A Crossover Strategy Based on Support and Resistance Lines - Algos with Strategy Studio
- Group 04 - A C++ Multithreaded HFT Exchange Stack and Trading Stack conforming to NASDAQ ITCH/OUCH Standards
- Group 05 - Automated Data Processing Pipeline for Identification of High Frequency Trading Radio Infrastructure
- Group 06 - Performance Evalation of ML Acceleration across various heterogenous computing architectures (Apple's M1, M2 chips, Google Colab's Nvidia's A100, T4 GPU, local Nvidia 1660ti, Goole Cloud Platform, NCSA HAL Cluster)
- Group 07 - Mixed Hardware Analysis of PyTorch, Tensorflow, and MXNet on IEX US Cash equities market data
- Fall 2022 - IE598 CSQ - CS for Quants: link.
- Fall 2022 - IE597 DAL - Independent Study
- Spring 2022:
- Spring 2022 - IE498 HFT - High Frequency Trading: link.
- Spring 2022 - IE598 CSQ - CS for Quants: link.
- Spring 2022 - IE597 DAL - Independent Study
- Fall 2021 - IE598 CSQ - CS for Quants: link.
- Fall 2021 - IE598/498 HFT - High Frequency Trading: link.
- Fall 2021 - FIN566 XFE - Algorithmic Market Microstructure: link.
- Spring 2021 - IE598/498 ET - Electronic Trading: link.
- Spring 2021 - FIN580 CSQ - CS for Quants
- Fall 2020 - IE598 CSQ - CS for Quants: link.
- Fall 2020 - FIN566 FE - Algorithmic Market Microstructure: link.
- Spring 2020 - FIN580 CSQ - CS for Quants
- Spring 2020 - IE598/498 ET - Electronic Trading: link.
- Fall 2019 - FIN566 FE - Algorithmic Market Microstructure: link.
- Spring 2019 - IE598 ET - Electronic Trading
- Spring 2019 - IE497 DL - Independent Study
- Spring 2018 - IE598 ET - Electronic Trading
- Spring 2017 - IE598 DL - Electronic Trading
- UIUC MSFE Practicum Sponsor while Consulting for CME Group
- 2017 - Reverse Engineering IEX matching engine speeds: link
- 2016 - "Market Data Feed Analysis" of NASDAQ market data - Awarded 1st place
- 2015 - Options Pricing on FPGAs with java to HDL framework: link
- 2014 - Options pricing on FPGAs with java to HDL framework
- Columbia University in the City of New York - Depts. of Computer Science and Electrical Engineering:
- Fall 2015 - COMS E6901 - Projects in Computer Science
- Spring 2015 - CSEE W4840 - Embedded Systems:: link.
- Fall 2014 - ELEN 6001 - Advanced Projects
- Spring 2014 - CSEE W4840 - Embedded Systems: link.
- Fall 2013 - COMS E6901 - Projects in Computer Science
- Spring 2013 - CSEE W4840 - Embedded Systems: link.
- Fall 2012 - COMS E6901 - Projects in Computer Science
- Spring 2012 - CSEE W4840 - Embedded Systems: link.
- (TA) Spring 2008 - CSEE W4840 - Embedded Systems: link.
- (TA) Spring 2007 - CSEE W4840 - Embedded Systems: link.
- (TA) Spring 2007 - COMS 4733 - Computational Aspects of Robotics
Teaching Awards:
- Andrew P. Kosoresow Memorial Award for Excellence in Teaching and Service.
link.
- Spring 2019 - List of Teachers Ranked as "Outstanding" by their Students for IE598.
link.
- Fall 2020 - List of Teachers Ranked as Excellent by their Students for IE598.
link.
- Spring 2021 - List of Teachers Ranked as Excellent by their Students for IE498.
link.
- Spring 2022 - List of Teachers Ranked as Excellent by their Students for IE498 - HFT.
link.
- Fall 2022 - List of Teachers Ranked as Excellent by their Students for IE421 - HFTT.
link.
- Spring 2023 - List of Teachers Ranked as Excellent by their Students for IE598 - CSQ.
link.
- Fall 2023 - List of Teachers Ranked as Excellent by their Students for IE598 - CSQ.
link.
- Fall 2024 - List of Teachers Ranked as Excellent by their Students for IE421 - HFTT
link.
- Fall 2024 - List of Teachers Ranked as "Outstanding" by their Students for FIN556
link.
Invited Academic Talks:
- OFC 2015 - Invited Talk - "Technology Trends to Speed up the Delivery of Wall Street Data".
link
- FPL 2015 - Invited Keynote - "Applications of FPGAs to the Financial Trading Industry".
link
- Chicago Federal Reserve - Quantitative Congress (May 2018) - Invited Talk - "Trading at the Speed of Light: Implications for Regulators"
- MSFE Financial Engineering Colloquium - "Designing and Backtesting Trading Algos for the Real World".
Invited Industry Talks:
- Solarflare AOE Kick-off Event NYC 2013 - Speaker:
link
- Solarflare's AOE Chicago Custom Compute & Application Acceleration Summit 2013 - Speaker:
link
- Chicago Next Gen Networks 2014 - Speaker
- NYC Next Gen Networks 2015 - Panelist
- Trading Show Chicago 2022 - Panel Moderator for "Infrastructure: Aligning hardware and software for optimal performance"
link
- STAC Summit Chicago Spring 2023 - Panelist for "FPGAs beyond ultra-low latency?"
link
Patents (Filed, Pending, Awarded, etc):
- US20180183901A1: Message processing protocol which mitigates optimistic messaging behavior.
link.
- EP3406052B1: Message processing protocol which mitigates manipulative messaging behavior.
link.
- US10659379B2: Enforcement of latency determinism across a computer network.
link.
- US10986031B2: Enforcement of latency determinism across a computer network.
link.
- US10637967B2: Distributed and transactionally deterministic data processing architecture.
link.
- US20190392518A1: Pre-matching orders at wire rate in a central limit order book.
link.