Why Robert Almgren no longer trades using Almgren-Chriss

Co-author of popular model says market nuances are critical in optimal execution

Robert Almgren: “One of the things I’m realising as I do this more and more is that it’s not the averages that are important”

Scroll to the bottom of almost any trading research paper and Robert Almgren’s name will probably be there, most likely in reference to his widely known work on optimal execution.

But those references allude to a past when algorithmic trading was still in its infancy – when algorithms were still primitively robotic.

Trading has moved on. Electronification has spread from equities to fixed-income markets. And Almgren has moved on too – abandoning the framework set out in his own influential pap