Robert Almgren, “Quantitative Problems in Optimal Execution”

Friday April 13 2012
Scuola Normale Superiore
Aula Bianchi

Robert Almgren
New York University and Quantitative Brokers

Execution of large transactions so as to minimize market impact and trading costs is a very important aspect of modern financial markets. We will give an overview of the quantitative tools that are used to approach this problem and how they are implemented in practice. These include balance of risk and reward, design of optimal trajectories, and the mathematical issues that arise in optimal response to time-varying liquidity and volatility.