Robert Almgren
Visiting Scholar and Adjunct professor in Financial Mathematics
Courant Institute of Mathematical Sciences
New York University

Co-founder, Quantitative Brokers
almgren -at- cims.nyu.edu

All publications (with PDF copies)
Curriculum vitae


Fixed Income Markets

Optimal Portfolios

How should you form an optimal portfolio when you have an ordering, or sorting of the assets, but do not have quantitative values for expected returns. In particular, how should you incorporate volatility and correlation information? Neil Chriss and I provide a general theoretical construction, which naturally generalizes to additional cases such as multiple incompatible sorts, or sorts only with sectors.

We have been awarded United States Patent 7630930 (international patent pending) on the application of these techniques to financial portfolios.

Optimal Trading Trajectories

How should you structure a large trade across time?

Transaction Cost Measurement

How much will it cost you to trade a given (large) trade program? Some Citigroup quants and I analysed a sample of internal trading data to estimate this model, at least for S&P 500 stocks.

Glider Flying

Agnes Tourin and I have written a paper on the mathematics of glider flying. The problem is to determine the optimal strategy for flying speed and whether to stop in lift, with uncertainty about future atmosphere conditions. and some more background information.


Matlab and MySQL

The very fact that knowledge is itself the basis for civilization points directly to openness as the way to overcome the present crisis.
--- Niels Bohr, 1950
 
L'étude approfondie de la nature est la source la plus féconde des découvertes mathématiques. Non seulement cette étude, en offrant aux recherches un but déterminé, a l'avantage d'exclure les questions vagues et les calculs sans issue : elle est encore un moyen assuré de former l'Analyse elle-même, et d'en découvrir les éléments qu'il nous importe le plus de connaître, et que cette science doit toujours conserver : ces éléments fondamentaux sont ceux qui se reproduisent dans tous les effets naturels.
--Joseph Fourier, Théorie Analytique de la Chaleur (bio)

 
We must remember three things," he said to them. "I will tell them to you in the order of their importance. Number one and first in importance, we must have as much fun as we can with what we have. Number two, we must eat as well as we can, because if we don't we won't have the health and strength to have as much fun as we might. And number three and third and last in importance, we must keep the house reasonably in order, wash the dishes, and such things. But we will not let the last interfere with the other two.
--John Steinbeck, "About Ed Ricketts"


READ THIS CAREFULLY BEFORE ANYTHING ELSE
"Our mathematics and hope of Heaven alike look to crystals"