Stock Trading Optimization through Model-based Reinforcement Learning with Resistance Support Relative Strength

Reinforcement learning (RL) is gaining attention by more and more researchers in quantitative finance as the agent-environment interaction framework is aligned with decision making process in many business problems. Most of the current financial applications using RL algorithms are based on model-free method, which still faces stability and adaptivity challenges. As lots of cutting-edge model-based reinforcement learning (MBRL) algorithms mature in applications such as video games or robotics, we design a new approach that leverages resistance and support (RS) level as regularization terms for action in MBRL, to improve the algorithm's efficiency and stability. From the experiment results, we can see RS level, as a market timing technique, enhances the performance of pure MBRL models in terms of various measurements and obtains better profit gain with less riskiness. Besides, our proposed method even resists big drop (less maximum drawdown) during COVID-19 pandemic period when the financial market got unpredictable crisis. Explanations on why control of resistance and support level can boost MBRL is also investigated through numerical experiments, such as loss of actor-critic network and prediction error of the transition dynamical model. It shows that RS indicators indeed help the MBRL algorithms to converge faster at early stage and obtain smaller critic loss as training episodes increase.

Cross-Language Binary-Source Code Matching with Intermediate Representations

Binary-source code matching plays an important role in many security and software engineering related tasks such as malware detection, reverse engineering and vulnerability assessment. Currently, several approaches have been proposed for binary-source code matching by jointly learning the embeddings of binary code and source code in a common vector space. Despite much effort, existing approaches target on matching the binary code and source code written in a single programming language. However, in practice, software applications are often written in different programming languages to cater for different requirements and computing platforms. Matching binary and source code across programming languages introduces additional challenges when maintaining multi-language and multi-platform applications. To this end, this paper formulates the problem of cross-language binary-source code matching, and develops a new dataset for this new problem. We present a novel approach XLIR, which is a Transformer-based neural network by learning the intermediate representations for both binary and source code. To validate the effectiveness of XLIR, comprehensive experiments are conducted on two tasks of cross-language binary-source code matching, and cross-language source-source code matching, on top of our curated dataset. Experimental results and analysis show that our proposed XLIR with intermediate representations significantly outperforms other state-of-the-art models in both of the two tasks.