Effect of Volatility Fluctuations on Optimal Execution Schedules

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

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Year of publication:	2019
Authors:	Criscuolo, Adriana
Other Persons:	Waelbroeck, Henri (contributor)
Publisher:	[2019]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Volatilität \| Volatility \| Scheduling-Verfahren \| Scheduling problem
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: 'https://doi.org/10.3905/jot.2014.9.4.082' https://doi.org/10.3905/jot.2014.9.4.082 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 26, 2014 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2416635 [DOI]
Classification:	D4 - Market Structure and Pricing ; G14 - Information and Market Efficiency; Event Studies ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012904961