Modern Algorithmic Trading ("Algo") allows institutional investors and traders to liquidate or establish big security positions in a fully automated or low-touch manner. Most existing academic or industrial Algos focus on how to "slice" a big parent order into smaller child orders over a given...

In this study, we compare the performance of stochastic processes, namely, the Vasicek, Cox-Ingersoll-Ross (CIR), and geometric Brownian motion (GBM) models, with that of machine learning algorithms, such as Random Forest, Support Vector Machine (SVM), and k-Nearest Neighbors (KNN), for...