IDENTIFY OF FRAUDULENT FINANCIAL OPERATIONS USING THE MACHINE LEARNING ALGORITHM

Abstract

Current work is devoted to the problem of automatic detection of fraudulent financial transactions. The article describes the causes of fraudulent transactions their typical attributes, as well as the basic principle of detection. The concepts of fraudulent and honest transactions are defined. Examples of algorithms for determining suspicious financial transactions in antifraud systems are given. Modern approaches to monitoring and detecting cases of fraud in remote banking systems are considered. The positive and negative aspects of each approach are described. Particular attention is paid to the problem of optimal recognition of transaction classes in highly unbalanced data. Methods for solving the problem of unbalanced data are considered. The choice of means for evaluating the operation of the machine learning model is justified considering the specifics of data distribution. As a solution, we propose an approach based on the use of ensemble classifiers in conjunction with balanced sampling algorithms, the key feature of which is to create a balanced sample not for the entire classifier, but for each student in the ensemble separately. Based on data on fraud in the field of bank credit cards, a comparison is made and the best classifier is selected among such ensemble algorithms as random forest, adaptive boosting and bagging of decision trees. To create balanced subsets of evaluators of ensemble algorithms, the algorithm of random insufficient sampling is used. To search for the optimal parameters of the classifiers, the random search algorithm on the grid is used. The results of experimental comparison of the selected methods are presented. The advantages of the proposed approach are analyzed, and the boundaries of its applicability are discussed.