The Almgren-Chriss model is a mathematical model in mathematical finance for the optimal execution of large portfolio transactions. Developed by Robert Almgren and Neil Chriss and published in 2000, it addresses how to liquidate a substantial position within a set timeframe by balancing two competing costs, the market impact of trading too quickly against the timing risk of trading too slowly. It is considered a cornerstone of algorithmic trading and continues to be applied by institutional traders today. This description is adapted from Wikipedia contributors under CC BY-SA 4.0; changes were made. https://creativecommons.org/licenses/by-sa/4.0/
Sources
Wikipedia: Almgren-Chriss model
Reader Challenges (0)
No disputes yet. Spotted an error or a better source? Open the first one.
Sign in to dispute this or suggest a correction.