Economics at your fingertips  

Shallow or deep? Training an autoencoder to detect anomalous flows in a retail payment system

Leonard Sabetti and Ronald Heijmans

Latin American Journal of Central Banking (previously Monetaria), 2021, vol. 2, issue 2

Abstract: Our paper applies a deep neural network autoencoder (AE) to detect anomalous payment flows in Canada's retail batch clearing payments system, the Automated Clearing Settlement System (ACSS). We aim to investigate an AE's potential for detecting complex changes in the liquidity outflows between participants, which could provide an early warning indication for exceptionally large outflows for a participant. As the Canadian financial system has neither faced bank runs nor severe liquidity shocks in recent history, we trained our models on “normal” data and evaluated them out-of-sample using test data drawn from two constructed scenarios: a sample derived from the largest 1% of observed historical multilateral net outflows and a sample drawn from a simulated bank run. In both cases, the trained AE performed well by producing larger than usual reconstruction errors. Our approach highlights the efficacy of a class of unsupervised machine learning methods as a useful component of a system operator's risk management toolkit.

Keywords: Anomaly detection; Autoencoder; Neural network; ACSS; Financial market infrastructure (search for similar items in EconPapers)
JEL-codes: C45 E42 E58 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Gold Open Access

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.latcb.2021.100031

Access Statistics for this article

Latin American Journal of Central Banking (previously Monetaria) is currently edited by Manuel Ramos-Francia

More articles in Latin American Journal of Central Banking (previously Monetaria) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-07-24
Handle: RePEc:eee:lajcba:v:2:y:2021:i:2:s2666143821000119