Detection and explanation of anomalous payment behavior in real-time gross settlement systems

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

Abstract

In this paper, we discuss how to apply an autoencoder to detect anomalies in payment data derived from an Real-Time Gross Settlement system. Moreover, we introduce a drill-down procedure to measure the extent to which the inflow or outflow of a particular bank explains an anomaly. Experimental results on real-world payment data show that our method can detect the liquidity problems of a bank when it was subject to a bank run with reasonable accuracy.
Original languageEnglish
Title of host publicationEnterprise Information Systems
Subtitle of host publication19th International Conference, ICEIS 2017
EditorsS. Hammoudi, M. Smialek, O. Camp, J. Filipe
Place of PublicationCham
PublisherSpringer Verlag
Pages145-161
DOIs
Publication statusPublished - 2018

Publication series

NameLecture Notes in Business Information Processing
Volume321

Keywords

  • anomaly detection
  • autoencoders
  • payment behavior
  • real-time gross settlement systems

Cite this

Triepels, R., Daniels, H., & Heijmans, R. (2018). Detection and explanation of anomalous payment behavior in real-time gross settlement systems. In S. Hammoudi, M. Smialek, O. Camp, & J. Filipe (Eds.), Enterprise Information Systems: 19th International Conference, ICEIS 2017 (pp. 145-161). (Lecture Notes in Business Information Processing; Vol. 321). Cham: Springer Verlag. https://doi.org/10.1007/978-3-319-93375-7_8
Triepels, Ron ; Daniels, Hennie ; Heijmans, Ronald. / Detection and explanation of anomalous payment behavior in real-time gross settlement systems. Enterprise Information Systems: 19th International Conference, ICEIS 2017. editor / S. Hammoudi ; M. Smialek ; O. Camp ; J. Filipe. Cham : Springer Verlag, 2018. pp. 145-161 (Lecture Notes in Business Information Processing).
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title = "Detection and explanation of anomalous payment behavior in real-time gross settlement systems",
abstract = "In this paper, we discuss how to apply an autoencoder to detect anomalies in payment data derived from an Real-Time Gross Settlement system. Moreover, we introduce a drill-down procedure to measure the extent to which the inflow or outflow of a particular bank explains an anomaly. Experimental results on real-world payment data show that our method can detect the liquidity problems of a bank when it was subject to a bank run with reasonable accuracy.",
keywords = "anomaly detection, autoencoders, payment behavior, real-time gross settlement systems",
author = "Ron Triepels and Hennie Daniels and Ronald Heijmans",
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editor = "S. Hammoudi and M. Smialek and O. Camp and J. Filipe",
booktitle = "Enterprise Information Systems",
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Triepels, R, Daniels, H & Heijmans, R 2018, Detection and explanation of anomalous payment behavior in real-time gross settlement systems. in S Hammoudi, M Smialek, O Camp & J Filipe (eds), Enterprise Information Systems: 19th International Conference, ICEIS 2017. Lecture Notes in Business Information Processing, vol. 321, Springer Verlag, Cham, pp. 145-161. https://doi.org/10.1007/978-3-319-93375-7_8

Detection and explanation of anomalous payment behavior in real-time gross settlement systems. / Triepels, Ron; Daniels, Hennie; Heijmans, Ronald.

Enterprise Information Systems: 19th International Conference, ICEIS 2017. ed. / S. Hammoudi; M. Smialek; O. Camp; J. Filipe. Cham : Springer Verlag, 2018. p. 145-161 (Lecture Notes in Business Information Processing; Vol. 321).

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

TY - GEN

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AB - In this paper, we discuss how to apply an autoencoder to detect anomalies in payment data derived from an Real-Time Gross Settlement system. Moreover, we introduce a drill-down procedure to measure the extent to which the inflow or outflow of a particular bank explains an anomaly. Experimental results on real-world payment data show that our method can detect the liquidity problems of a bank when it was subject to a bank run with reasonable accuracy.

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BT - Enterprise Information Systems

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Triepels R, Daniels H, Heijmans R. Detection and explanation of anomalous payment behavior in real-time gross settlement systems. In Hammoudi S, Smialek M, Camp O, Filipe J, editors, Enterprise Information Systems: 19th International Conference, ICEIS 2017. Cham: Springer Verlag. 2018. p. 145-161. (Lecture Notes in Business Information Processing). https://doi.org/10.1007/978-3-319-93375-7_8