@article {Criscuolo82, author = {Adriana M. Criscuolo and Henri Waelbroeck}, title = {Effect of Volatility Fluctuations on Optimal Execution Schedules}, volume = {9}, number = {4}, pages = {82--90}, year = {2014}, doi = {10.3905/jot.2014.9.4.082}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/9/4/82}, eprint = {https://jot.pm-research.com/content/9/4/82.full.pdf}, journal = {The Journal of Trading (Retired)} }