"Trading at the Speed of Light":
Automated Algorithms and Ultra-High Frequency Trading
David Lariviere
Clinical Professor
Department of Industrial and Enterprise Systems Engineering
Friday, September 1, 20223|10-10:50 am (US Central Time)
Join Zoom Meeting
https://illinois.zoom.us/j/89267336129?pwd=cnZtdktNN3pibkdCaVFlTFhTT2NTQT09
Meeting ID: 892 6733 6129
Password: 805393
Abstract:
This talk will discuss the exciting world of automated and ultra-high frequency / low latency algorithmic trading (where even undergraduate summer interns can make more than $20k/month); it will cover both an industry context and with regards to academic areas for researchers and course / employment opportunities for students at the University of Illinois.
Academic Bio:
Professor Lariviere is a Chicago-based Clinical (Full) Professor at the University of Illinois at Urbana-Champaign for the Master of Science in Financial Engineering (MSFE) program since 2017, affiliated with the program via practicums since 2014. He previously taught in the Computer Science and Electrical Engineering Departments at Columbia University in NYC, teaching FPGA (custom chip) development for custom ethernet network hardware for Direct Market Access / Ultra-low latency trading. He earned his B.S. and M.S. from Columbia University in Computer Science with an emphasis on Artificial Intelligence and Computer Vision. He wanted to do a PhD back then but Non-Disclosure Agreements (NDAs) and Intellectual Property (IP) Assignment terms made that essentially impossible, so he became a professor instead.
Professional Bio:
While at Columbia, Professor Lariviere also served as the Head of Advanced Technologies for GTS, now one of the country’s largest HFT designated market makers on the New York Stock Exchange. While there, he lead both the software and hardware optimization teams (created by hiring his best former students from Columbia) and the CME futures related trading infrastructure. He was then the lead consultant overseeing the roll-out of the next generation trading order entry systems for the largest futures exchange on earth (the CME), successfully overhauling a system processing more than a quadrillion dollars a year in notional value, determining the prices of virtually every major asset on earth (stocks, bonds, energy, food, etc). He is a regular speaker and panel moderator at industry events. He is the lead inventor of the (in)famous “CME list of latency tricks” patent. In addition to teaching, he is currently the CTO of an international global hedge fund.
