Citigroup

Citigroup is a global investment bank. It appears in this vault because its US equity trading desks supplied the proprietary trade dataset used by Almgren Thum Hauptmann Li 2005 to estimate the permanent and temporary market-impact functions of the equity market-impact model — three of that paper’s authors worked in Citigroup quantitative research, and Robert Almgren led quantitative strategies there. The Citigroup data is the empirical basis for why a flat basis-point cost assumption is structurally wrong.

Connections

• Almgren Thum Hauptmann Li 2005 — uses_dataset, supplied the US equity trade data for the impact estimation, source: https://www.cis.upenn.edu/~mkearns/finread/costestim.pdf
• Robert Almgren — relates, conducted quantitative research at Citigroup, source: https://www.cis.upenn.edu/~mkearns/finread/costestim.pdf
• Transaction Costs and Slippage — relates, Citigroup desk data underpins the empirical market-impact model, source: https://www.cis.upenn.edu/~mkearns/finread/costestim.pdf