Neil Chriss sets out to codify the game theory of trading

The co-author of the benchmark Almgren-Chriss model has updated his thinking on market impact

The study of so-called market impact – how an investor’s trades move market prices – is a field Neil Chriss knows well. He was one half of the duo that more-or-less invented it. In 2000, together with Robert Almgren, Chriss developed the foundational model for what became a Wall Street cottage industry of formulating execution algorithms.

The Almgren-Chriss model describes how trading a security moves its price in the short- and the long-term. In the years that followed, others built on the work