Why Robert Almgren no longer trades using Almgren-Chriss

Co-author of popular model says market nuances are critical in optimal execution

Robert-Almgren.jpg
Robert Almgren: “One of the things I’m realising as I do this more and more is that it’s not the averages that are important”

Scroll to the bottom of almost any trading research paper and Robert Almgren’s name will probably be there, most likely in reference to his widely known work on optimal execution.

But those references allude to a past when algorithmic trading was still in its infancy – when algorithms were still primitively robotic.

Trading has moved on. Electronification has spread from equities to fixed-income markets. And Almgren has moved on too – abandoning the framework set out in his own influential

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here