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Solving the False Positives Problem in Fraud Prediction Using Automated Feature Engineering

  • Roy Wedge
  • James Max KanterEmail author
  • Kalyan Veeramachaneni
  • Santiago Moral Rubio
  • Sergio Iglesias Perez
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 11053)

Abstract

In this paper, we present an automated feature engineering based approach to dramatically reduce false positives in fraud prediction. False positives plague the fraud prediction industry. It is estimated that only 1 in 5 declared as fraud are actually fraud and roughly 1 in every 6 customers have had a valid transaction declined in the past year. To address this problem, we use the Deep Feature Synthesis algorithm to automatically derive behavioral features based on the historical data of the card associated with a transaction. We generate 237 features (>100 behavioral patterns) for each transaction, and use a random forest to learn a classifier. We tested our machine learning model on data from a large multinational bank and compared it to their existing solution. On an unseen data of 1.852 million transactions, we were able to reduce the false positives by 54% and provide a savings of 190K euros. We also assess how to deploy this solution, and whether it necessitates streaming computation for real time scoring. We found that our solution can maintain similar benefits even when historical features are computed once every 7 days.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  • Roy Wedge
    • 1
  • James Max Kanter
    • 1
    Email author
  • Kalyan Veeramachaneni
    • 1
  • Santiago Moral Rubio
    • 2
  • Sergio Iglesias Perez
    • 2
  1. 1.Data to AI Lab, LIDSMITCambridgeUSA
  2. 2.Banco Bilbao Vizcaya Argentaria (BBVA)MadridSpain

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