arXiv subjects

Jovan Blanuša

Publications and source records attributed to Jovan Blanuša.

4 recordsLinked to original sources

arXiv2024

Graph Feature Preprocessor: Real-time Subgraph-based Feature Extraction for Financial Crime Detection

In this paper, we present "Graph Feature Preprocessor", a software library for detecting typical money laundering patterns in financial transaction graphs in real time. These patterns are used to produce a rich set of transaction features for downstream machine learning training and inference tasks such as detection of fraudulent financial transactions. We show that our enriched transaction features dramatically improve the prediction accuracy of gradient-boosting-based machine learning models. Our library exploits multicore parallelism, maintains a dynamic in-memory graph, and efficiently mines subgraph patterns in the incoming transaction stream, which enables it to be operated in a streaming manner. Our solution, which combines our Graph Feature Preprocessor and gradient-boosting-based machine learning models, can detect illicit transactions with higher minority-class F1 scores than standard graph neural networks in anti-money laundering and phishing datasets. In addition, the end-to-end throughput rate of our solution executed on a multicore CPU outperforms the graph neural network baselines executed on a powerful V100 GPU. Overall, the combination of high accuracy, a high throughput rate, and low latency of our solution demonstrates the practical value of our library in real-world applications.

cs.LG↗

arXiv2024

Realistic Synthetic Financial Transactions for Anti-Money Laundering Models

With the widespread digitization of finance and the increasing popularity of cryptocurrencies, the sophistication of fraud schemes devised by cybercriminals is growing. Money laundering -- the movement of illicit funds to conceal their origins -- can cross bank and national boundaries, producing complex transaction patterns. The UN estimates 2-5\% of global GDP or \$0.8 - \$2.0 trillion dollars are laundered globally each year. Unfortunately, real data to train machine learning models to detect laundering is generally not available, and previous synthetic data generators have had significant shortcomings. A realistic, standardized, publicly-available benchmark is needed for comparing models and for the advancement of the area. To this end, this paper contributes a synthetic financial transaction dataset generator and a set of synthetically generated AML (Anti-Money Laundering) datasets. We have calibrated this agent-based generator to match real transactions as closely as possible and made the datasets public. We describe the generator in detail and demonstrate how the datasets generated can help compare different machine learning models in terms of their AML abilities. In a key way, using synthetic data in these comparisons can be even better than using real data: the ground truth labels are complete, whilst many laundering transactions in real data are never detected.

cs.AI↗

arXiv2023

Fast Parallel Algorithms for Enumeration of Simple, Temporal, and Hop-Constrained Cycles

Cycles are one of the fundamental subgraph patterns and being able to enumerate them in graphs enables important applications in a wide variety of fields, including finance, biology, chemistry, and network science. However, to enable cycle enumeration in real-world applications, efficient parallel algorithms are required. In this work, we propose scalable parallelisation of state-of-the-art sequential algorithms for enumerating simple, temporal, and hop-constrained cycles. First, we focus on the simple cycle enumeration problem and parallelise the algorithms by Johnson and by Read and Tarjan in a fine-grained manner. We theoretically show that our resulting fine-grained parallel algorithms are scalable, with the fine-grained parallel Read-Tarjan algorithm being strongly scalable. In contrast, we show that straightforward coarse-grained parallel versions of these simple cycle enumeration algorithms that exploit edge- or vertex-level parallelism are not scalable. Next, we adapt our fine-grained approach to enable the enumeration of cycles under time-window, temporal, and hop constraints. Our evaluation on a cluster with 256 CPU cores that can execute up to 1024 simultaneous threads demonstrates a near-linear scalability of our fine-grained parallel algorithms when enumerating cycles under the aforementioned constraints. On the same cluster, our fine-grained parallel algorithms achieve, on average, one order of magnitude speedup compared to the respective coarse-grained parallel versions of the state-of-the-art algorithms for cycle enumeration. The performance gap between the fine-grained and the coarse-grained parallel algorithms increases as we use more CPU cores.

cs.DS↗

arXiv2022

Scalable Fine-Grained Parallel Cycle Enumeration Algorithms

Enumerating simple cycles has important applications in computational biology, network science, and financial crime analysis. In this work, we focus on parallelising the state-of-the-art simple cycle enumeration algorithms by Johnson and Read-Tarjan along with their applications to temporal graphs. To our knowledge, we are the first ones to parallelise these two algorithms in a fine-grained manner. We are also the first to demonstrate experimentally a linear performance scaling. Such a scaling is made possible by our decomposition of long sequential searches into fine-grained tasks, which are then dynamically scheduled across CPU cores, enabling an optimal load balancing. Furthermore, we show that coarse-grained parallel versions of the Johnson and the Read-Tarjan algorithms that exploit edge- or vertex-level parallelism are not scalable. On a cluster of four multi-core CPUs with $256$ physical cores, our fine-grained parallel algorithms are, on average, an order of magnitude faster than their coarse-grained parallel counterparts. The performance gap between the fine-grained and the coarse-grained parallel algorithms widens as we use more CPU cores. When using all 256 CPU cores, our parallel algorithms enumerate temporal cycles, on average, $260\times$ faster than the serial algorithm of Kumar and Calders.

cs.DC↗