Robert Almgren

He is the son of Princeton mathematician Frederick J. Almgren, Jr. With Neil Chriss, he wrote the seminal paper "Optimal Execution of Portfolio Transactions,"[1] which Institutional Investor[2] said "helped lay the groundwork for arrival-price algorithms being developed on Wall Street."

In 2008 with Christian Hauff, he cofounded Quantitative Brokers (QB), a financial technology company providing agency algorithmic execution in futures and interest rate markets.

He is currently chief scientist at QB and a professor of the Practice in Operations Research and Financial Engineering at Princeton University.

He received his Ph.D. in applied and computational mathematics from Princeton University in 1989, having completed a dissertation under Andrew Majda on the resonant interaction of acoustic waves in gaseous combustion.

[5][6][7][8] In 2005, with a group of quantitative analysts at Citigroup, he published an empirical model for equity market impact,[9] which became a central ingredient in Citi's BECS portfolio management system.