Acknowledgments

There have been numerous people over the years who have made significant contributions
to the field and to the material introduced and presented throughout the text. Without their
insights, comments, suggestions, and criticisms, the final version of this book and these
models would not have been possible.
Roberto Malamut, Ph.D., from Cornell University, was instrumental in the develop-
ment of the numerous methodologies, frameworks, and models introduced in this book.
His keen mathematical insight and financial market knowledge helped advance many of
the theories presented throughout the text. He provided the foundation for multiperiod
trade schedule optimization and is by far one of the leading experts in algorithmic trading,
finance, statistics, and optimization. Roberto is a coauthor of the CFA Level III reading
“Trade Strategy and Execution,” CFA Institute 2019, and he and I have coauthored more
leading-edge algorithmic trading papers in peer-reviewed journals than either one of us can
probably remember.
Morton Glantz, my coauthor from Optimal Trading Strategies, provided invaluable
guidance and direction, and helped turn many of our original ideas into formulations that
have since been put into practice by traders and portfolio managers, and have now become
mainstream in the industry.
The All-Universe Algorithmic Trading Team: Roberto Malamut (Captain), Andrew
Xia, Hernan Otero, Deepak Nautiyal, Don Sun, Kevin Li, Peter Tannenbaum, Connie Li,
Nina Zhang, Grace Chung, Jungsun (Sunny) Bae, Arun Rajasekhar, Mustaq Ali, Mike
Blake, Alexis Kirke, Agustin Leon, and Pierre Miasnikof. Thank you for all your con-
tributions and ideas, which have now become ingrained into the algorithmic trading
landscape. Your contribution to algorithmic trading is second to none and has shaped the
industry.
Wayne Wagner provided valuable direction and support over the years. His early
research has since evolved into its own science and discipline known as transaction cost
analysis (TCA). His early vision and research have helped pave the way for making our
financial markets more efficient and investor portfolios more profitable. Robert Almgren
and Neil Chriss provided the groundbreaking work on the efficient trading frontier, and
introduced the appropriate mathematical trading concepts to the trading side of the in-
dustry. Their seminal paper on optimal liquidation strategies is the reason that trading
desks have embraced mathematical models and algorithmic trading.
Victoria Averbukh Kulikov, Director of Cornell Financial Engineering Manhattan,
allowed me to lecture at Cornell on algorithmic trading (Fall 2009 & Fall 2010) and test
many of my theories and ideas in a class setting. I have a great deal of gratitude to her and
to all the students for correcting my many mistakes before they could become part of this
book. They provided more answers to me than I am sure I provided to them during the
semester. Steve Raymar and Yan An from Fordham University for encouraging me to
continue teaching algorithmic trading and to push and encourage students.
Connie Li, Quantitative Analyst and Algorithmic Trading Expert, M.S. in Financial
Engineering from Cornell University, provided invaluable comments and suggestions

xxi
xxii Acknowledgments

throughout the writing of the book. And most importantly, Connie corrected the errors in
my math, the grammar in my writing, and helped simplify the many concepts discussed
throughout the book. Connie Li is also a coauthor of the CFA Level III reading “Trade
Strategy and Execution,” CFA Institute 2019.
Nina Zhang, M.S. in Quantitative Finance and Statistics from Fordham University,
provided insight and suggestions that led to the development of the TCA functions and
TCA Libraries for MATLAB and Excel. Nina is a coauthor of the paper “Transaction Cost
Analysis with Excel and MATLAB” (JOT, Winter 2017).
Grace Chung, M.S. in Mathematical Finance from Rutgers University, provided insight
and suggestions to help incorporate TCA into the portfolio optimization process. Grace is a
coauthor of the paper “An Application of Transaction Cost in the Portfolio Optimization
Process” (JOT, Spring 2016).
Jungsun “Sunny” Bae, M.S. in Information Systems from Baruch College, is a leading
researcher and practitioner in machine learning and natural language processing. Sunny
was instrumental in helping to develop machine learning applications for their use in
multiperiod trade schedule optimization. She is coauthor of the paper “Machine Learning
for Algorithmic Trading and Trade Schedule Optimization” (JOT Fall 2018).
Scott Bentley, Ph.D., was my publisher for Algorithmic Trading Methods, Second
Edition. He provided invaluable guidance, suggestions, comments, and encouragement
throughout both projects. He is a major reason for the success of both books.
Scott Wilson, Ph.D., provided invaluable insight and direction for modeling trading
costs across the various asset classes, and was influential in helping to structure the
concepts behind the factor exposure allocation scheme.
John Carillo, Jon Anderson, Sebastian Ceria, Curt Engler, Marc Gresack, Kingsley
Jones, Scott Wilson, Eldar Nigmatullin, Bojan Petrovich, Mike Rodgers, Deborah Bere-
bichez, Jim Poserina, Tom Kane, Dan Keegan, and Diana Muzan for providing valuable
insight, suggestions, and comments during some of the early drafts of this manuscript. This
has ultimately led to a better text. The team at Institutional Investor (now IPR), Brian
Bruce, Allison Adams, Debra Trask, and Melinda Estelle, for ongoing support and the
encouragement to push forward and publish with new ideas and concepts.
A special thanks to Richard Rudden, Stephen Marron, John Little, Cheryl Beach, Russ
Feingold, Kevin Harper, William Hederman, John Wile, and Kyle Rudden from my first
job out of college at R.J. Rudden Associates (now part of Black and Veatch) for teaching
the true benefits of thinking outside the box, and showing that many times a nontraditional
approach could often prove to be the most insightful.
Additionally, Trista Rose, Hans Lie, Richard Duan, Alisher Khussainov, Thomas
Yang, Joesph Gahtan, Fabienne Wilmes, Erik Sulzbach, Charlie Behette, Min Moon,
Kapil Dhingra, Harry Rana, Michael Lee, John Mackie, Nigel Lucas, Steve Paridis,
Thomas Reif, Steve Malin, Marco Dion, Michael Coyle, Anna-Marie Monette, Mal Selver,
Ryan Crane, Matt Laird, Charlotte Reid, Ignor Kantor, Aleksandra Radakovic, Deng
Zhang, Shu Lin, Ken Weston, Andrew Freyre-Sanders, Mike Schultz, Lisa Sarris, Joe
Gresia, Mike Keigher, Thomas Rucinski, Alan Rubenfeld, John Palazzo, Jens Soerensen,
 Acknowledgments xxiii

Adam Denny, Diane Neligan, Rahul Grover, Rana Chammaa, Stefan Balderach, Chris
Sinclaire, James Rubinstein, Frank Bigelow, Rob Chechilo, Carl DeFelice, Kurt Burger,
Brian McGinn, Dan Wilson, Kieran Kilkenny, Kendal Beer, Edna Addo, Israel Moljo,
Peter Krase, Emil Terazi, Emerson Wu, Trevor McDonough, Simon (I still do not know
his last name), Jim Heaney, Emilee Deutchman, Seth Weingram, and Jared Anderson.
My previous algorithmic trading students who provided tremendous insight into
algorithmic trading models through numerous questions:
Fall 2009 (Cornell): Sharath Alampur, Qi An, Charles Bocchino, Sai Men Chua,
Antoine Comeau, Ashish Dole, Michael Doros, Ali Hassani, Steven Hung, Di Li, Sandy
Mtandwa, Babaseyi Olaleye, Arjun Rao, Pranav Sawjiany, Sharat Shekar, Henry Zhang,
Xiaoliang Zhu.
Fall 2010 (Cornell): Alisher Khussainov, Shubham Chopra, Jeff Yang, Woojoon Choi,
Ruke Ufomata, Connie Li, Poojitha Rao, Zhijiang Yang, Seung Bae Lee, Ke Zhang, Ming
Sheng.
Fall 2015 (Fordham): Lu An, Chad Brown, Tyler Carter, Isabel Du Zhou, Tianzuo
Feng, Ying Gao, Zhen Huang, Xichen Jin, Aditya Khaparde, Hanchao Li, Shuang Lin, Yi
Liu, Xiaomin Lu, Jinghan Ma, Jinshu Ma, Fupeng Peng, Boyang Qin, Zilun Shen, Fen-
gyang Shi, Alton Tang, Jiahui Wang, Xiaoyi Wang, Jieqiu Xie, Jiaqi Yang, Anya Zaitsev,
Ning Zhang, Yufei Zhang, Yi Zheng, Ruoyang Zhu, Yuhong Zhu, Yunzheng Zhu.
Spring 2016 (Fordham): Amit Agarwal, Yash Bhargava, Richard Brewster, Yizhuoran
Cao, Liangao Chen, Nan Chen, Zhaoyi Ding, Ruiqun Fan, Rui Ge, Tianyuan He, Yue Jia,
Anqi Li, Yang Li, Hsin-Han Lin, Dongming Liu, Kuan-Yin Liu, Bingwan Liu, Yunpeng
Luo, Shihui Qian, Yisheng Qian, Wenlu Qiao, Shao Qiu, Vadim Serebrinskiy, Nitin
Sharma, Yuxin Shi, Hongyi Shu, Ethan Soskel, Shuyi Sui, Zhifang Sun, Ming Wang, Wen
Xiong, Chen Xueqing, Kaicheng Yang, Siqi Yi, Shuwei Zhan, Huidong Zhang, Diyuan
Zhang, Xianrao Zhu, Ying Zhu.
Summer 2016 (Fordham): Eric Adams, Mohammad Alhuneidi, Sergei Banashko,
Zheng Duan, Alexander Flaster, Yuting Guo, Junchi Han, Christian Hellmann, Yushan
Hou, Yangxiu Huang, Ziyun Huang, Hanchen Jin, Xi Jing, Yuxiao Luo, Edward
Mccarthy, Ryan McNally, Francesk Nilaj, Xiaokang Sun, Yinxue Sun, Guoliang Wang,
Melanie Williams, Zihao Yan, Yitong Zheng.
Fall 2017 (Fordham): Maha Almansouri, Seongjun Bae, Jinshuo Bai, Subhasis Bhadra,
Shiwen Chen, Taihao Chen, Yutong Chen, Yichen Fan, James Ferraioli, Patrick Fuery,
Ziqing Gao, Bingxin Gu, Yang Hong, Tingting Huang, Keyihong Ji, Owen Joyce, Jiayuan
Liu, Xun Liu, Xin Lu, Rui Ma, Mengyang Miao, Xueting Pan, Xiao Tan, Yaokan Tang,
Mengting Tian, Hongyuan Wang, Ning Wang, Yimei Wang, Jiajin Wu, Hansen Xing,
Zheng Zheng, Yuan Zhou.
Spring 2017 (Fordham): Jianda Bi, Sean Burke, Beilun Chen, Yilun Chen, Tamar
Chikovani, Niclas Dombrowski, Chong Feng, Fangfei Gao, Masoud Ghayoumi, Man
Avinash Gill, Jiangxue Han, Yuze Ji, Shuxin Li, Lianhao Lin, Chang Liu, Xinyi Liu, Yi
Luo, Tianjie Ma, Nicholas Mata, John Mitchell, Mathieu Nicolas, Boyuan Su, Haoyue
Sun, Yifan Tang, Tuo Wang, Weixuan Wang, Minqi Wang, Qijin Wu, Junhao Wu, Yifan
xxiv Acknowledgments

Wu, Wei Wu, Xin Xiong, Mao Yang, Kai Yang, Kirill Zakharov, Tongqing Zhang,
Haojian Zheng, Jiri Beles, Brian Block, Chaitanya Motla, Rongxin Wang, Ye Zhang.
Fall 2018 (Fordham): Jennifer Dunn, Nadir Bajwa, Riley Coyne, Robert Genneken III,
Connor Griffin, Liesel Judas, Lubaba Khan, Steve Kotoros, Ryan Mertz, James O’Hara,
Lokesh Sivasriaumphai, Roberto Stevens.
Spring 2019 (Fordham): Charles Blackington, Rong Deng, Lei Feng, Luoyi Fu,
Tianlun Gao, Yutong Guo, Tong Han, Yuxuan He, Danny Hemchand, Alana Higa, Boyu
Hu, Lan Huang, Brandon Jaskulek, Zhiyan Jiang, Athanasios Katsiouris, Rachel Keough,
Tanya Krishnakumar, Anqi Li, Chenxi Li, Yiteng Li, Kuiren Liao, Xin Liu, Xuwen Lyu,
Yaakov Musheyev, Ziwen Pan, Luman Sun, Chengxin Wang, Jingzhi Wang, Yutong
Xing, Yuxin Xu, Yazhuo Xue, Deyi Yu, Xiang Ning Zang, Yixiao Zhang, Zhizhe Zhao,
Lujun Zhen, Zepeng Zhong, Ruiyang Zou, Yingting Zou.
In addition to all those who have made significant contribution to the field of algo-
rithmic trading, unfortunately, there are also those who have impeded the progress of
algorithmic trading and quantitative finance. These individuals have been mostly moti-
vated by greed and their never-ending quest for self-promotion. The nice thing is that
many are no longer in the financial industry, but there are still a few too many who remain.
A list of those individuals is available upon request.

Best regards,
Robert Kissell, Ph.D.