Bank transactions embeddings help to uncover current macroeconomics

Maria Begicheva, Alexey Zaytsev

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

Macroeconomic indexes are of high importance for banks: many risk-control decisions utilize these indexes. A typical workflow of these indexes evaluation is costly and protracted, with a lag between the actual date and available index being a couple of months. Banks predict such indexes now using autoregressive models to make decisions in a rapidly changing environment. However, autoregressive models fail in complex scenarios related to appearances of crises. We propose to use clients' financial transactions data from a large Russian bank to get such indexes. Financial transactions are long, and a number of clients is huge, so we develop an efficient approach that allows fast and accurate estimation of macroeconomic indexes based on a stream of transactions consisting of millions of transactions. The approach uses a neural networks paradigm and a smart sampling scheme.The results show that our neural network approach outperforms the baseline method on hand-crafted features based on transactions. Calculated embeddings show the correlation between the client's transaction activity and bank macroeconomic indexes over time.

Original languageEnglish
Title of host publicationProceedings - 20th IEEE International Conference on Machine Learning and Applications, ICMLA 2021
EditorsM. Arif Wani, Ishwar K. Sethi, Weisong Shi, Guangzhi Qu, Daniela Stan Raicu, Ruoming Jin
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1742-1748
Number of pages7
ISBN (Electronic)9781665443371
DOIs
Publication statusPublished - 2021
Event20th IEEE International Conference on Machine Learning and Applications, ICMLA 2021 - Virtual, Online, United States
Duration: 13 Dec 202116 Dec 2021

Publication series

NameProceedings - 20th IEEE International Conference on Machine Learning and Applications, ICMLA 2021

Conference

Conference20th IEEE International Conference on Machine Learning and Applications, ICMLA 2021
Country/TerritoryUnited States
CityVirtual, Online
Period13/12/2116/12/21

Keywords

  • Bank transactions
  • Deep learning
  • Macroeconomics

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