Effect of Volatility Fluctuations on Optimal Execution Schedules

Posted: 21 May 2019

See all articles by Adriana Criscuolo

Adriana Criscuolo

Portware LLC

Henri Waelbroeck

Baruch College MFE Lab; AlgoCortex LLC

Date Written: March 26, 2014

Abstract

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

Criscuolo, Adriana and Waelbroeck, Henri, Effect of Volatility Fluctuations on Optimal Execution Schedules (March 26, 2014). https://doi.org/10.3905/jot.2014.9.4.082, Available at SSRN: https://ssrn.com/abstract=2416635 or http://dx.doi.org/10.2139/ssrn.2416635

Adriana Criscuolo

Portware LLC ( email )

233 Broadway, 24th Floor
New York, NY 10279
United States

Henri Waelbroeck (Contact Author)

Baruch College MFE Lab ( email )

17 Lexington Avenue
New York, NY 10021
United States

AlgoCortex LLC ( email )

38A Claremont Rd
Scarsdale, NY 10583
United States

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