In 2002, January the 31st, the famous journal Nature [Kla02], with a strong impact in the scientific environment, published some news about immune based systems. Among the different considered applications, we can find detection of fraudulent financial transactions. One can find there the possibility of a commercial use of such system as close as 2003, in a British company. In spite of that, we do not know of any scientific publication that uses Artificial Immune Systems in financial fraud detection. This work reports results very satisfactory on the application of Artificial Immune Systems (AIS) to credit card fraud detection. In fact, scientific financial fraud detection publications are quite rare, as point out Phua et al. [PLSG05], in particular for credit card transactions. Phua et al. points out the fact that no public database of financial fraud transactions is available for public tests as the main cause of such a small number of publications. Two of the most important publications in this subject that report results about their implementations are the prized [MTV00], that compares Neural Networks and Bayesian Networks in credit card fraud detection, with a favored result for Bayesian Networks and [SFL + 97], that proposed the method AdaCost. This thesis joins both these works and publishes results in credit card fraud detection. Moreover, in spite the non availability of Maes data and implementations, we reproduce the results of their and amplify the set of comparisons in such a way to compare the methods Neural Networks, Bayesian Networks, and also Artificial Immune Systems, Decision Trees, and even the simple Naïve Bayes. We reproduce in certain way the results of [SFL + 97] when we verify that the usage of a cost sensitive meta-heuristics, in fact generalized from the generalization done from the AdaBoost to the AdaCost, applied to several tested methods substantially improves it performance for all methods, but Naive Bayes. Our analysis took into account the skewed nature of the dataset, as well as the need of a parametric adjustment, sometimes through the usage of genetic algorithms, in order to obtain the best results from each compared method.
In this chapter, we explore difficulties one often encounters when applying machine learning techniques to real-world data, which frequently show skewness properties. A typical example from industry where skewed data is an intrinsic problem is fraud detection in finance data. In the following we provide examples, where appropriate, to facilitate the understanding of data mining of skewed data. The topics explored include but are not limited to:
Event studies in general rely on having a high-quality curated database of events. In this paper we introduce CryptoGDelt2022, a news event dataset extracted from the Global Database of Events, Language and Tone (GDELT) containing more than 243 thousands cryptocurrency related news events between the 31st of March 2021 and 30th of April 2022. The dataset is enriched with supervised machine learning scores for Relevance, Sentiment and Strength. Supervised Relevance Score measures how related to Cryptocurrency the topic is using news web scrapped from Yahoo in general and from the Cryptocurrency part of the site, after a comparison of approaches; Latent Dirichlet Allocation (LDA), BERT and Naive Bayes, Naive Bayes was chosen and the hyper-parameter tuned model reached accuracy: 97.84 % in the train set and 91.70% in the test set. Supervised Sentiment Score measures the negative, neutral or positive tone of the news, after hyper-parameter tuning, the retrained FinBERT model achieved accuracy of 92.63% in the train set and 86.11% in the test set. Supervised Strength Score measures how strong the news by using the abnormal return using Fama French 3-factor model as target output variable, after hyper-parameter tuning, the trained Naive Bayes model reached accuracy of 63.34%. The work concludes that GDELT is more reliable source of event when compared to news selected from cryptocurrency specialized websites as it presents a more balanced positive and negative number of news. All data sets and Python Jupyter Notebooks are available in the project's GitHub.
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