Analysis of Transactional Data with Long Short-Term Memory Recurrent Neural Networks

Sammanfattning: An issue authorities and banks face is fraud related to payments and transactions where huge monetary losses occur to a party or where money laundering schemes are carried out. Previous work in the field of machine learning for fraud detection has addressed the issue as a supervised learning problem. In this thesis, we propose a model which can be used in a fraud detection system with transactions and payments that are unlabeled. The proposed modelis a Long Short-term Memory in an auto-encoder decoder network (LSTMAED)which is trained and tested on transformed data. The data is transformed by reducing it to Principal Components and clustering it with K-means. The model is trained to reconstruct the sequence with high accuracy. Our results indicate that the LSTM-AED performs better than a random sequence generating process in learning and reconstructing a sequence of payments. We also found that huge a loss of information occurs in the pre-processing stages.