The LSE Directory / Quant researchers
Robert Almgren is a quantitative researcher and applied mathematician known for the Almgren-Chriss model (2001), which provides the academic framework for optimal trade execution, minimising the expected cost of liquidating a portfolio given price impact. This model underlies VWAP and TWAP algorithms on most institutional trading desks. He co-founded Quantitative Brokers (now part of Glenbrook Capital Group) and teaches at NYU Courant Institute.
