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Robert Almgren

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Name
  
Robert Almgren


Robert Almgren wwwcourantnyuedualmgrenalmgren1jpg

Robert almgren at global derivatives 2012


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". The Institutional Investor 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. Almgren and Chriss also wrote Algorithmic Trading articles: "Competitive bids for principal program trades", "Value under liquidation".

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.

References

Robert Almgren Wikipedia