About KRG

We are the premier global transaction cost analysis and market microstructure firm. We provide financial institutions quantitative analysis and insight into the current trading cost environment leading to improved portfolio construction, ultimately leading to the best execution. Our independent analysis measures overall execution quality and broker dealer/algorithm performance. We assist funds to determine which brokers and algorithms perform best in which type of situations, and where the fund ranks with regards to its peers. We utilize a fully transparent methodology. Our expanded trading performance analysis includes all the regulatory requirements.

Robert Kissell, Ph.D.

President

Dr. Robert Kissell is the founder of Kissell Research Group and has over twenty years of professional experience specializing in quantitative modeling, statistical analysis, and risk management. He advises and consults with financial institutions throughout the US and Europe on appropriate risk management, portfolio management techniques, and best execution practices.

He is the author of the leading industry books “Optimal Trading Strategies,” “The Science of Algorithmic Trading & Portfolio Management,” and “Multi-Asset Risk Management.” He has published numerous research papers on trading strategies, algorithmic trading, risk management, and best execution. His paper, “Dynamic Pre-Trade Models: Beyond the Black Box,” won the prestigious Institutional Investor's Paper of the Year award.

Dr. Kissell serves as an associate editor for the Institutional Investor's Journal of Trading and the Journal of Index Investing. He is also a frequent speaker in the US and internationally.

Previously, Dr. Kissell was an instructor at Cornell University in their graduate program for financial engineering. He has worked with several investment banks and investment management companies, including UBS Securities, where he was the Executive Director of Execution Strategies and Portfolio Analysis, and at JP Morgan, where he served as Executive Director and Head of Quantitative Trading Strategies. His earlier roles include Vice President, Quantitative Research at Citigroup/Smith Barney, and Director, Trading Research at Instinet. He began his career as an Energy Consultant specializing in energy pricing models, risk management, and optimization.

Dr. Kissell holds a Ph.D. in Economics from Fordham University, an MS in Applied Mathematics from Hofstra University, and both an MS in Business Management and a BS in Applied Mathematics & Statistics from Stony Brook University.

Under Dr. Kissell's leadership, the Kissell Research Group drives innovation, offering clients unparalleled insights and strategies in the financial domain.

Press & Publications

Please contact us if you would like to receive a copy of our paper or publication.

Books:

“The Science of Algorithmic Trading and Portfolio Management” 2013, Robert Kissell, Elsevier/Academic Press.
“Multi-Asset Risk Modeling,” 2013, Robert Kissell & Morton Glantz, Elsevier/Academic Press.
“Optimal Trading Strategies,” 2003, Robert Kissell & Morton Glantz, AMACOM, Inc.

Book Chapters:

“Usefulness and Limits of Quant Models,” 2014, Robert Kissell & Morton Glantz, in Chapter 5 of “Managing Extreme Financial Risk,” Elsevier/Academic Press.
“A Primer on Risk Modeling,” Robert Kissell, in Chapter 5 of “Credit Derivatives: Techniques to Manage Credit Risk for Financial Professionals,” 2006, Erik Banks, Morton Glantz and Paul Siegel, McGraw-Hill, Financial Education Series.

Journal Publications:

“Multi-Asset Trading Costs,” Robert Kissell, Journal of Trading, Fall 2013, Vol. 8, No. 4, pg. 69-80.
“Intraday Volatility Models: Methods to Improve Real-Time Forecasts,”2012, Robert Kissell, Journal of Trading, Fall 2012, Vol. 7, No. 4, pg. 27 – 34.
"Smart Technology for Big Data," Michael Blake. Journal of Trading, Winter 2014, Vol. 9, No. 1.
“Creating Dynamic Pre-Trade Models: Beyond the Black Box,” 2011, Robert Kissell, Journal of Trading, Fall 2011, Vol. 6, No. 4, pg. 8-15.
“TCA in the Investment Process: An Overview,” Robert Kissell, Journal of Index Investing, Summer 2011, Vol. 2, No. 1, pg. 60-64.
“U.S. Exchange Auction Trends: Recent Opening and Closing Auction Behavior, and the Implications on Order Management Strategies,” 2011, Robert Kissell & Hans Lie, Journal of Trading, Winter 2011, Vol.6, No. 1, pg. 10-30.
“2008 - The Trading Year in Review,” 2009, Robert Kissell & Peter Tannenbaum, Journal of Trading, Spring 2009, Vol. 4, No. 2, pg. 10-23.
“A Practical Framework for Transaction Cost Analysis,” 2008, Robert Kissell, Journal of Trading, Summer 2008, Vol. 3, No. 2, pg. 29-37.
“Investing and Trading Consistency,” 2007, Robert Kissell & Roberto Malamut, Journal of Trading, Fall 2007, Vol. 2, No. 4, pg. 12-22.
“Statistical Methods to Compare Algorithmic Performance,” 2007, Robert Kissell, Journal of Trading, Spring 2007, Vol. 2, No. 2, pg. 53-62.
“Algorithmic Decision Making Framework,” 2006, Robert Kissell & Roberto Malamut, Journal of Trading, Winter 2006, Vol. 1, No. 1, pg. 12 – 21.
“The Expanded Implementation Shortfall: Understanding Transaction Cost Components,” 2006, Robert Kissell, Journal of Trading, Summer 2006, Vol. 1 No. 3, pg. 6-16.
“Understanding the P&L Distribution of Trading Algorithms,” 2005, Robert Kissell & Roberto Malamut, Institutional Investor, Guide to Algorithmic Trading, Spring 2005, pg. 41-49.
“An Overview of the Algorithmic Trading Process,” 2005, Robert Kissell & Andrew Freyre-Sanders, The Euromoney Equity Capital Markets Handbook 2005, pg. 13 – 19.
"A Practical Framework for Estimating Transaction Costs and Developing Optimal Trading Strategies to Achieving Best Execution," 2004, Robert Kissell, Morton Glantz, & Roberto Malamut, Finance Research Letters 1, Elsevier, Winter 2004, Vol. 1, No. 1, pg. 35 – 46.

Best Paper Award – Journal of Trading
(Voted by Editorial Board)

“Creating Dynamic Pretrade Models: Beyond the Black Box,” Robert Kissell, Journal of Trading, Fall 2011, Vol. 6, No. 4, pg. 8-15.