Robert F. Almgren is an applied mathematician, academic, and businessman focused on

market microstructure Market microstructure is a branch of finance concerned with the details of how exchange occurs in markets. While the theory of market microstructure applies to the exchange of real or financial assets, more evidence is available on the microstruct ...

and order execution. He is the son of Princeton mathematician Frederick J. Almgren, Jr. With Neil Chriss, he wrote the seminal paper "Optimal Execution of Portfolio Transactions,"R.Almgren and N.Chriss, "Optimal execution of portfolio transactions" J. Risk, 3 (Winter 2000/2001) pp.5–39 which ''Institutional Investor'' said "helped lay the groundwork for arrival-price algorithms being developed on Wall Street." In 2008 with Christian Hauff, he cofounde
Quantitative Brokers
(QB), a financial technology company providing agency algorithmic execution in futures and interest rate markets. He is currently chief scientist at QB and a professor of the Practice in Operations Research and Financial Engineering at Princeton University.

Education

Robert Almgren completed a B.S. in physics and a B.S. in mathematics at the

Massachusetts Institute of Technology The Massachusetts Institute of Technology (MIT) is a Private university, private research university in Cambridge, Massachusetts, United States. Established in 1861, MIT has played a significant role in the development of many areas of moder ...

, then an M.S. in applied mathematics at

Harvard University Harvard University is a Private university, private Ivy League research university in Cambridge, Massachusetts, United States. Founded in 1636 and named for its first benefactor, the History of the Puritans in North America, Puritan clergyma ...

. He received his Ph.D. in applied and computational mathematics from Princeton University in 1989, having completed a dissertation under Andrew Majda on the resonant interaction of acoustic waves in gaseous combustion.

Early career

He was a visiting member at the Courant Institute of Mathematical Sciences at

New York University New York University (NYU) is a private university, private research university in New York City, New York, United States. Chartered in 1831 by the New York State Legislature, NYU was founded in 1832 by Albert Gallatin as a Nondenominational ...

and then took a postdoctoral position at the University of Paris 7 under Claude Bardos. From 1993 to 2000, he was an assistant professor in mathematics at the

University of Chicago The University of Chicago (UChicago, Chicago, or UChi) is a Private university, private research university in Chicago, Illinois, United States. Its main campus is in the Hyde Park, Chicago, Hyde Park neighborhood on Chicago's South Side, Chic ...

, where his research focused on free boundary problems in liquid droplets and crystal growth and where he helped found the Master of Science in Financial Mathematics program. From 2000 to 2005, he was a tenured associate professor at the

University of Toronto The University of Toronto (UToronto or U of T) is a public university, public research university whose main campus is located on the grounds that surround Queen's Park (Toronto), Queen's Park in Toronto, Ontario, Canada. It was founded by ...

, where he was director of the Masters in Mathematical Finance program. In 2005, he left academia to become head of quantitative strategies and a managing director in the Electronic Trading Services group in

Bank of America The Bank of America Corporation (Bank of America) (often abbreviated BofA or BoA) is an American multinational investment banking, investment bank and financial services holding company headquartered at the Bank of America Corporate Center in ...

, where he developed the Instinct algorithm for adaptive trade execution in small-cap equities.

Significant research

His best-known paper is "Optimal Execution of Portfolio Transactions", published in 2000, which he wrote with Neil Chriss. This paper introduced a simple model for permanent and temporary market impact and proposed that optimal trade execution trajectories are a balance between trading slowly to minimize market impact, and trading rapidly to reduce volatility risk relative to an arrival price or implementation shortfall benchmark. This work has been widely cited and extended by Almgren and others. In 2005, with a group of quantitative analysts at

Citigroup Citigroup Inc. or Citi (Style (visual arts), stylized as citi) is an American multinational investment banking, investment bank and financial services company based in New York City. The company was formed in 1998 by the merger of Citicorp, t ...

, he published an empirical model for equity market impact, which became a central ingredient in Citi's BECS portfolio management system.

References

{{DEFAULTSORT:Almgren, Robert 21st-century American mathematicians Living people Year of birth missing (living people) Massachusetts Institute of Technology School of Science alumni Harvard John A. Paulson School of Engineering and Applied Sciences alumni Princeton University alumni University of Chicago faculty Academic staff of the University of Toronto