Matching Trades with Confirmations via Contrastive Learning : Asymmetric Contrastive Learning on Text Data

Sammanfattning: In the banking world trades of securities are finalized every day, on behalf of the banks themselves or of their clients. When the trades have been booked by the front office the confirmations sent by the counterparty have to be checked and connected to the correct trade by hand, posing the question whether this process could not be automated using machine learning techniques. There is no straightforward solution to this problem since the confirmations differ between counterparties, and can contain different enriched information or even be in different formats. This thesis addresses the problem of matching trades with their corresponding confirmations via deep learning methods. A model is trained using contrastive learning methods on generated pairs of trades and confirmations, with the goal of matching the pairs in the latent space by using nearest neighbor classification. Accuracy is measured by dividing the correctly classified samples by the total number of samples in a testing batch. The model achieves an accuracy as high as 97.8% over 100 trade-confirmation samples with a 30-dimensional latent space, and it is shown that similar contrastive methods can indeed be used in order to solve this problem.