Transaction Fraud Detection Using GRU-centered Sandwich-structured Model

Abstract: Rapid growth of modern technologies such as internet and mobile computing are bringing dramatically increased e-commerce payments, as well as the explosion in transaction fraud. Meanwhile, fraudsters are continually refining their tricks, making rule-based fraud detection systems difficult to handle the ever-changing fraud patterns. Many data mining and artificial intelligence methods have been proposed for identifying small anomalies in large transaction data sets, increasing detecting efficiency to some extent. Nevertheless, there is always a contradiction that most methods are irrelevant to transaction sequence, yet sequence-related methods usually cannot learn information at single-transaction level well. In this paper, a new "within->between->within" sandwich-structured sequence learning architecture has been proposed by stacking an ensemble method, a deep sequential learning method and another top-layer ensemble classifier in proper order. Moreover, attention mechanism has also been introduced in to further improve performance. Models in this structure have been manifested to be very efficient in scenarios like fraud detection, where the information sequence is made up of vectors with complex interconnected features.