PT - JOURNAL ARTICLE AU - Adriana M. Criscuolo AU - Henri Waelbroeck TI - Effect of Volatility Fluctuations on Optimal Execution Schedules AID - 10.3905/jot.2014.9.4.082 DP - 2014 Sep 30 TA - The Journal of Trading PG - 82--90 VI - 9 IP - 4 4099 - https://pm-research.com/content/9/4/82.short 4100 - https://pm-research.com/content/9/4/82.full AB - We present a framework for optimal execution in the 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.TOPIC: Statistical methods