LAW: Learning Automatic Windows for Online Payment Fraud Detection

Abstract

The rapid development of internet finance has caused increasing concern in online payment fraud due to its great threat. It is typical to employ rule systems or machine learning-based techniques to detect frauds. For the most significant features of such fraudulent transactions are exhibited in a sequential form, the sliding time window is a widely-recognized effective tool for this problem. With a sliding time window, features about the transaction characteristics can be extracted, and the latent patterns hidden in transaction records can be captured. However, the adaptive setting of sliding time window is really a big challenge, since the transaction patterns in real-life application scenarios are often too elusive to be captured. As a matter of fact, the practical setting usually needs to be updated and refined with manual intervention regularly. This is time-consuming indeed. In this article, we pursue an adaptive learning approach to detect fraudulent online payment transactions with automatic sliding time windows. Accordingly, we make efforts on optimizing the setting of windows and improving the adaptability. We design an intelligent window, called learning automatic window (LAW). It utilizes the learning automata to learn the proper parameters of time windows and adjust them dynamically and regularly according to the variation and oscillation of fraudulent transaction patterns. By the experiments over a real-world dataset of the online payment service from a commercial bank, we validate the gain of LAW in terms of detection effectiveness and robustness. To the best of our knowledge, this is the first work to make a sliding time window for fraud detection capable of learning its proper size in changing situations.