Frontiers in Quantitative Finance

Robert Almgren (Quantitative Brokers)

Execution Cost Analysis for Futures Trading

Thursday 23 January 2020, 18:00-19:00.


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Execution slippage is widely recognized as one of the key determinants of investment performance and a reasonably accurate model can be a key input to trade decisions. We talk about some of the particular issues that arise in developing such a model for trading in futures markets. In addition to the modeling aspects that arise in equity cost models, such as dependence on trade size, duration, market volume, etc, many aspects of modeling are specific to futures because of their multi-dimensional nature. These include such aspects as how to take account of volume in the underlying product, and how to systematically combine information for closely related products.


Robert Almgren is co-founder and Head of Research at Quantitative Brokers, a provider of agency algorithmic trade execution and transaction cost analysis in fixed income markets. Dr Almgren was previously professor of mathematics at the University of Chicago and the University of Toronto and Managing Director and Head of Quantitative Strategies in the Electronic Trading Services group at Bank of America until 2008. He holds a Ph.D. in Applied and Computational Mathematics from Princeton University. His extensive research record in applied mathematics includes pioneering and influential work on optimal trade execution and transaction cost measurement. 


Citi Stirling Square

5-7 Carlton Gardens, London SW1Y 5AD


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