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Almgren & Chriss (1999) introduce mean-variance optimal execution with permanent vs temporary impact and an efficient frontier of liquidation paths. Plain-language intro. Not investment advice.
Takeaway. Liquidating a position is a risk–cost trade-off: trade faster to cut price risk, or slower to cut impact cost—and plot an efficient frontier of schedules.
Optimal Execution of Portfolio Transactions (Robert Almgren, Neil Chriss, 1999/2000 era classic) is the doorway paper for almost every after-work execution notebook.
Fit for learners: Foundational mean-variance optimal execution with permanent vs temporary impact and the efficient frontier of liquidation strategies.
This Hub note is a plain-language intro. Not investment advice. Continue with Bouchaud–Farmer–Lillo digestion and Guéant block pricing.
Dumping size at once maximises impact; crawling forever maximises exposure to random mid moves. Without a objective (mean cost vs variance of cost), "best execution" is a slogan.
This is still a model. Live venues, dark pools, and LOB microstructure add layers covered in later papers.
AC is the shared language of desks and blogs: temporary/permanent impact, trajectory, frontier. Coding a discrete AC schedule is a perfect evening project once you know lists and plots.
Tiny evening exercise: fix a parent order of 100 units over 10 buckets; compare a flat VWAP-like schedule vs a front-loaded one under toy temporary + permanent impact; print expected cost for both—learning only.
Landing / PDF host: Quantitative Brokers copy
Not investment advice. This Hub note is educational only. The paper is research—not a licence to trade, quote, or execute with real capital.
Single course CTA: SoloQuant Academy's Introduction to Python Programming—get comfortable with functions, files, and plots first; then these microstructure PDFs become much less scary.