01
2026Co-Author
Latency-Aware Execution Engine
Reinforcement learning trade execution
End-to-end ML system combining classical methods (Linear Regression, Random Forest, XGBoost) with QR-DQN reinforcement learning agents for optimal cryptocurrency trade execution. Beats TWAP by 10.2 basis points on Bitcoin walk-forward and cuts cost 96.7% versus naive execution, validated against 98 million real market trades across three assets. Implements the Almgren-Chriss market impact model and a risk-sensitive RL framework, with 17 ablation studies and 176 unit tests. Dual final project for CS5130 (Applied Programming) and CS6140 (Machine Learning) at Northeastern.
- vs TWAP (BTC)
- +10.2 bps
- Cost reduction
- 96.7%
- Validation
- 98M trades
- Tests / Ablations
- 176 / 17
- Python
- PyTorch
- QR-DQN
- XGBoost