Robert Almgren

From Wikipedia, the free encyclopedia
Jump to: navigation, search

Robert F. Almgren is a mathematician, academic and businessman. He is the son of 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 since.[3][4] Almgren and Chris also wrote Algorithmic Trading articles: "Competitive bids for principal program trades",[5] "Value under liquidation".[6]

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 Fellow in the Mathematics in Finance Program at New York University.[7]

References[edit]

  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 Neil Chriss, "Bidding principles" Risk, June 2003
  6. ^ Robert Almgren and Neil Chriss , "Value under liquidation", Risk, Dec. 1999
  7. ^ http://www.courant.nyu.edu/~almgren