RT Journal Article SR Electronic T1 Effect of Volatility Fluctuations on Optimal Execution Schedules JF The Journal of Trading FD Institutional Investor Journals SP 82 OP 90 DO 10.3905/jot.2014.9.4.082 VO 9 IS 4 A1 Adriana M. Criscuolo A1 Henri Waelbroeck YR 2014 UL https://pm-research.com/content/9/4/82.abstract 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