Robert Almgren

Robert F. Almgren is a mathematician, academic and businessman focused on market microstructure and order execution. He is the son of renowned Princeton mathematician Frederick J. Almgren, Jr.. Together with Neil Chriss, he wrote a paper "Optimal execution of portfolio transactions".[1] The Institutional Investor[2] published an article about Algorithmic Trading in its November 2004 issue, titled "The Orders Battle", which noted that Almgren and Chriss's paper "helped lay the groundwork for arrival-price algorithms being developed on Wall Street." The work has been widely cited [3][4] and extended [5] since. Almgren and Chriss also wrote Algorithmic Trading articles: "Competitive bids for principal program trades",[6] "Value under liquidation".[7] Together with coauthor Tianhui Li, Almgren published a paper on "Option Hedging with Smooth Market Impact"[8]

Robert Almgren is currently President and Cofounder of Quantitative Brokers. Before founding Quantitative Brokers in 2008, he was Head of Quantitative Strategies in the Electronic Trading Services group of Banc of America Securities. He is currently a visiting professor in Operations Research and Financial Engineering at Princeton University.

References

  1. ↑ R.Almgren and N.Chriss, "Optimal execution of portfolio transactions" J. Risk, 3 (Winter 2000/2001) pp.5–39
  2. ↑ The Institutional Investor magazine
  3. ↑ David Leinweber, "Algo vs. Algo", The Institutional Investor's Alpha, February 2007
  4. ↑ A TRADE Guide to Broker Algorithms, The TRADE, Issue 3, Jan–Mar 2005
  5. ↑ Robert Almgren and Julian Lorenz, "Mean-variance optimal adaptive execution", Applied Mathematical Finance 18, 2011
  6. ↑ Robert Almgren and Neil Chriss, "Bidding principles" Risk, June 2003
  7. ↑ Robert Almgren and Neil Chriss , "Value under liquidation", Risk, Dec. 1999
  8. ↑ Robert Almgren; Tianhui Li (2016). "Option Hedging with Smooth Market Impact". Market Microstructure and Liquidity. 2: 1650002. doi:10.1142/S2382626616500027. Retrieved November 27, 2017.
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