equity market
impact model based on a multifactor portfolio model making essential improvements to R.
Almgren design, whereby a significant source of estimation bias was eliminated.
• Penick, Risk Model: designed ... filed a
patent for this model. This included expanding on theoretical framework of R. Almgren, R. Kissel
and others by enabling real-time optimization capability for the algorithm ... more advanced ones such as Implementation Shortfall,
using optimal trading framework, and enhancing R. Almgren design by using more accurate impact
functions.
• Responsible for the algorithmic trading proprietary system