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
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