Adriana Criscuolo

Portware LLC

233 Broadway, 24th Floor

New York, NY 10279

United States

SCHOLARLY PAPERS

2

DOWNLOADS

304

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (2)

1.
Downloads 304 (110,670)
Citation 3

Optimal Execution in Presence of Short-Term Trading

Number of pages: 46 Posted: 03 Mar 2013 Last Revised: 24 Mar 2013
Adriana Criscuolo and Henri Waelbroeck
Portware LLC and Portware LLC
Downloads 160 (204,955)
Citation 3

Abstract:

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hidden order, information leakage, market impact, trading cost, optimal trade execution

Optimal Execution in Presence of Short-Term Trading

Number of pages: 24 Posted: 21 Mar 2014
Adriana Criscuolo and Henri Waelbroeck
Portware LLC and Baruch College MFE Lab
Downloads 144 (223,784)
Citation 1

Abstract:

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market impact, fair pricing, optimal schedule, metaorders, implementation shortfall, permanent impact

2.

Effect of Volatility Fluctuations on Optimal Execution Schedules

Posted: 21 May 2019
Adriana Criscuolo and Henri Waelbroeck
Portware LLC and Baruch College MFE Lab

Abstract:

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optimal execution, market impact, Heston model, stochastic volatility