An Experimental Perspective on Sampling Methods for Imbalanced Learning From Financial Databases
Luis Eduardo Boiko Ferreira, Jean Paul Barddal, Fabrício Enembreck, Heitor Murilo Gomes · 2018
The financial market is one of the major consumers of data mining techniques, and the main reason is their efficiency to analyze complex data. One important trait shared between most financial applications is class imbalance. Since traditional classification methods assume nearly balanced classes and equal misclassification costs, they usually fail to deal with imbalanced data. However, in financial contexts, problems are usually imbalanced, and instances from the minority class are known for deficits of millions of dollars every year, e.g., credit card frauds, money laundering transactions and so forth. Over the years, several techniques for dealing with class imbalance have been developed, such as sampling techniques and algorithm adaptations. In this study, we analyze how different sampling techniques impact the performance of different classification systems on financial applications. Results show that, for the given datasets, sampling techniques allow the improvement of prediction performance of the minority class while also improving overall classification rates. Nevertheless, their use often deteriorates the performance in predicting the majority class.