Effect of Volatility Fluctuations on Optimal Execution Schedules

We present a framework for optimal execution in presence of stochastic volatility. The theoretical model utilizes the fair pricing theory of market impact and the Heston model for volatility. We use computer optimization to solve common trading problems, including optimal execution schedules on high volatility near the open or on the arrival of signals with short-term alpha decay

Year of publication:	2019
Authors:	Criscuolo, Adriana
Other Persons:	Waelbroeck, Henri (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Theorie \| Theory \| Scheduling-Verfahren \| Scheduling problem
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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