Robert Almgren

Robert Almgren co-developed the Almgren-Chriss model for optimal execution with Neil Chriss in 2000. The model provides a framework for minimizing the combined cost of market impact and execution risk when trading large orders — a problem faced by every institutional investor. The model underlies many VWAP and TWAP algorithmic strategies and is used throughout the industry. Almgren co-founded Quantitative Brokers, a startup focused on applying execution research to futures and fixed income markets. His academic work at NYU's Courant Institute and Courant Mathematics Department continues to bridge theory and practice. His research on market impact functions — characterizing how large order flow temporarily moves prices as a function of order size relative to average daily volume — has been validated empirically across equity, futures, and fixed income markets and forms the basis for pre-trade transaction cost analysis models used by institutional trading desks. The model's trade-off between execution pace and market impact versus timing risk provides a principled framework for designing algorithmic execution strategies across different market conditions.