Anomaly detection in high-dimensional financial transaction data is challenging and resource-intensive, particularly when the dataset is unlabeled. Sometimes, one can alleviate the computational cost and improve the results by utilizing a pre-trained model, provided that the features learned from the pre-training are useful for learning the second task. Investigating this issue was the main purpose of this thesis. More specifically, it was to explore the potential gain of pre-training a detection model on one trader's transaction history and then retraining the model to detect anomalous trades in another trader's transaction history. In the context of transfer learning, the pre-trained and the retrained model are usually referred to as the source model and target model, respectively. A deep LSTM autoencoder was proposed as the source model due to its advantages when dealing with sequential data, such as financial transaction data. Moreover, to test its anomaly detection ability despite the lack of labeled true anomalies, synthetic anomalies were generated and included in the test set. Various experiments confirmed that the source model learned to detect synthetic anomalies with highly distinctive features. Nevertheless, it is hard to draw any conclusions regarding its anomaly detection performance due to the lack of labeled true anomalies. While the same is true for the target model, it is still possible to achieve the thesis's primary goal by comparing a pre-trained model with an identical untrained model. All in all, the results suggest that transfer learning offers a significant advantage over traditional machine learning in this context.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:uu-451884 |
| Date | January 2021 |
| Creators | Natvig, Filip |
| Publisher | Uppsala universitet, Avdelningen för systemteknik |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | UPTEC F, 1401-5757 ; 21018 |
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