Robert Almgren

Robert F. Almgren is an applied mathematician, academic and businessman who works on market microstructure and the execution of trading orders. He is the son of the Princeton mathematician Frederick J. Almgren, Jr. With Neil Chriss he wrote the 2000 paper Optimal Execution of Portfolio Transactions, which introduced a model of permanent and temporary market impact and showed that good execution trajectories balance trading slowly to limit impact against trading quickly to limit volatility risk. He studied physics and mathematics at the Massachusetts Institute of Technology, took a master's degree in applied mathematics at Harvard, and earned his Ph.D. in applied and computational mathematics at Princeton in 1989 under Andrew Majda with a dissertation on acoustic waves in gaseous combustion. He taught at the University of Chicago and the University of Toronto, led electronic trading quantitative strategies at Bank of America, cofounded Quantitative Brokers in 2008, and is now its chief scientist and a professor of the practice at Princeton.