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Data Mining For Credit Card Fraud: A Comparative Study
XxxxxxxxDSCI 5240 | Dr. Nick Evangelopoulos
Graduate Presentation
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OverviewO Credit Card FraudO Data Mining TechniquesO DataO Experimental SetupO Results
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Credit Card FraudO Two Types:
O Application FraudO Obtain new cards using false information
O Behavioral FraudO Mail theftO Stolen/lost cardO Counterfeit card
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Credit Card FraudO Online Revenue loss due to Fraud
(cybersource.com)
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Data Mining TechniquesO Logistic Regression
O Used to predict outcome of categorical dependent variable
O Fraud variable is binaryO Support Vector MachinesO Random Forest
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Support Vector Machines (SVM)
O Supervised learning models with associated learning algorithms that analyze and recognize patterns
O Linear classifiers that work in high dimensional feature space that is non-linear mapping of input space
O Two properties of SVMO Kernel representationO Margin optimization
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Random Forest (RF)O Ensemble of classification treesO Performs well when individual members are
dissimilar
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Data: DatasetsO 13 Months of data (Jan 2006 – Jan 2007)O 50 Million credit card transactions on 1 Million
credit cardsO 2420 known fraudulent transactions with 506
credit cards
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Percentage of Transaction by transaction type
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Data Selection
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Primary attributes in Dataset
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Derived Attributes
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Experimental SetupO For SVM, Gaussian radial basis function was used
as the kernel functionO For Random Forest, number of attributes
considered at the node and number of trees was set.
O Data were sampled at different rates using random under sampling of majority class
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Training and testing data
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Results
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Proportion of fraud captured at different depths
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Fraud Capture Rate w/ Different Fraud Rates in Training Data
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ConclusionO Examine the performance of two data mining techniques
O SVM and RF together with logistic regressionO Used real life data set from Jan 2006 – Jan 2007O Used data undersampling approach to sample dataO Random forest showed much higher performance at
upper file depthsO SVM performance at the upper file depths tended to
increase with lower proportion of fraud in the training data
O Random forest demonstrated overall better performance
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Questions