Effect of Volatility Fluctuations on Optimal Execution Schedules
Posted: 21 May 2019
Date Written: March 26, 2014
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.
Keywords: optimal execution, market impact, Heston model, stochastic volatility
JEL Classification: D4, G14, C61
Suggested Citation: Suggested Citation