Robert Almgren

3.5k total citations · 1 hit paper
31 papers, 2.0k citations indexed

About

Robert Almgren is a scholar working on Finance, Computational Mechanics and Management Science and Operations Research. According to data from OpenAlex, Robert Almgren has authored 31 papers receiving a total of 2.0k indexed citations (citations by other indexed papers that have themselves been cited), including 15 papers in Finance, 7 papers in Computational Mechanics and 7 papers in Management Science and Operations Research. Recurrent topics in Robert Almgren's work include Financial Markets and Investment Strategies (13 papers), Stochastic processes and financial applications (10 papers) and Risk and Portfolio Optimization (6 papers). Robert Almgren is often cited by papers focused on Financial Markets and Investment Strategies (13 papers), Stochastic processes and financial applications (10 papers) and Risk and Portfolio Optimization (6 papers). Robert Almgren collaborates with scholars based in United States, Canada and Switzerland. Robert Almgren's co-authors include Neil Chriss, Hong Li, Julian Lorenz, Vincent Hakim, Michael P. Brenner, Andrea L. Bertozzi, Afina Lupulescu, Rodolfo R. Rosales, Jonathan A. Dantzig and Matthew Koss and has published in prestigious journals such as Physical Review Letters, Journal of Computational Physics and Physics of Fluids.

In The Last Decade

Robert Almgren

30 papers receiving 1.8k citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

Optimal execution of portfolio transactions

2001 846 citations Robert Almgren, Neil Chriss The Journal of Risk profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Robert Almgren United States	13	1.3k	955	539	303	198	31	2.0k
Paul Wilmott United Kingdom	25	2.2k 1.7×	963 1.0×	316 0.6×	32 0.1×	29 0.1×	80	3.0k
Bin Gao China	18	727 0.5×	338 0.4×	109 0.2×	119 0.4×	106 0.5×	76	1.4k
Gunduz Caginalp United States	22	366 0.3×	358 0.4×	93 0.2×	1.7k 5.6×	764 3.9×	105	2.7k
Jean‐Paul Laurent France	19	944 0.7×	384 0.4×	357 0.7×	74 0.2×	39 0.2×	63	1.5k
Michael Zabarankin United States	20	724 0.5×	464 0.5×	993 1.8×	35 0.1×	42 0.2×	70	1.8k
Riccardo Rebonato United Kingdom	20	1.1k 0.8×	493 0.5×	154 0.3×	73 0.2×	11 0.1×	105	1.7k
Giorgio P. Szegö Italy	12	1.2k 0.9×	804 0.8×	400 0.7×	30 0.1×	105 0.5×	32	2.5k
Roberto Renò Italy	22	1.4k 1.1×	1.1k 1.2×	138 0.3×	52 0.2×	30 0.2×	92	1.9k
Stavros Stavroyiannis Greece	21	335 0.3×	615 0.6×	253 0.5×	79 0.3×	3 0.0×	75	1.4k

Countries citing papers authored by Robert Almgren

Since Specialization

Citations

This map shows the geographic impact of Robert Almgren's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Robert Almgren with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Robert Almgren more than expected).

Fields of papers citing papers by Robert Almgren

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Robert Almgren. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Robert Almgren. The network helps show where Robert Almgren may publish in the future.

Co-authorship network of co-authors of Robert Almgren

This figure shows the co-authorship network connecting the top 25 collaborators of Robert Almgren. A scholar is included among the top collaborators of Robert Almgren based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Robert Almgren. Robert Almgren is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

1.

Almgren, Robert, et al.. (2016). Option Hedging with Smooth Market Impact. 2(1). 1650002–1650002. 20 indexed citations

2.

Li, Tianhui & Robert Almgren. (2012). Closed-Form Solutions for Option Hedging with Market Impact. SSRN Electronic Journal. 2 indexed citations

3.

Lorenz, Julian & Robert Almgren. (2011). Mean–Variance Optimal Adaptive Execution. Applied Mathematical Finance. 18(5). 395–422. 46 indexed citations

4.

Almgren, Robert & Julian Lorenz. (2006). Bayesian Adaptive Trading with a Daily Cycle. The Journal of Trading. 1(4). 38–46. 31 indexed citations

5.

Chriss, Neil & Robert Almgren. (2005). Portfolios from Sorts. SSRN Electronic Journal. 2 indexed citations

6.

Almgren, Robert. (2003). Optimal execution with nonlinear impact functions and trading-enhanced risk. Applied Mathematical Finance. 10(1). 1–18. 265 indexed citations

7.

Almgren, Robert & Neil Chriss. (2003). Competitive Bids for Principal Program Trades.

8.

Almgren, Robert. (2002). Financial Derivatives and Partial Differential Equations. American Mathematical Monthly. 109(1). 1–12. 5 indexed citations

9.

Almgren, Robert & Neil Chriss. (2001). Optimal execution of portfolio transactions. The Journal of Risk. 3(2). 5–39. 846 indexed citations breakdown →

10.

Glasner, Karl & Robert Almgren. (2000). Dual fronts in a phase field model. Physica D Nonlinear Phenomena. 146(1-4). 328–340. 4 indexed citations

11.

Sekerka, Robert F., et al.. (1999). Thermodynamic basis for a variational model for crystal growth. Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics. 60(1). 705–714. 2 indexed citations

12.

Provatas, Nikolas, Nigel Goldenfeld, Jonathan A. Dantzig, et al.. (1999). Crossover Scaling in Dendritic Evolution at Low Undercooling. Physical Review Letters. 82(22). 4496–4499. 31 indexed citations

13.

Almgren, Robert. (1999). Second-Order Phase Field Asymptotics for Unequal Conductivities. SIAM Journal on Applied Mathematics. 59(6). 2086–2107. 149 indexed citations

14.

Almgren, Robert & Neil Chriss. (1998). Optimal Liquidation. SSRN Electronic Journal. 1 indexed citations

15.

Almgren, Robert. (1998). Comment on “Selection of the Saffman-Taylor Finger Width in the Absence of Surface Tension: An Exact Result”. Physical Review Letters. 81(26). 5951–5951. 5 indexed citations

16.

Almgren, Robert, Andrea L. Bertozzi, & Michael P. Brenner. (1996). Stable and unstable singularities in the unforced Hele-Shaw cell. Physics of Fluids. 8(6). 1356–1370. 49 indexed citations

17.

Almgren, Robert. (1995). Crystalline Saffman–Taylor Fingers. SIAM Journal on Applied Mathematics. 55(6). 1511–1535. 9 indexed citations

18.

Almgren, Robert. (1991). High-Frequency Acoustic Waves in a Reacting Gas. SIAM Journal on Applied Mathematics. 51(2). 351–373. 10 indexed citations

19.

Almgren, Robert. (1990). Modulated High‐Frequency Waves. Studies in Applied Mathematics. 83(2). 159–181. 1 indexed citations

20.

Almgren, Robert, Andrew J. Majda, & Rodolfo R. Rosales. (1990). Rapid initiation in condensed phases through resonant nonlinear acoustics. Physics of Fluids A Fluid Dynamics. 2(6). 1014–1029. 9 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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