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Volatility forecasting is essential for risk management and decision-making in financial markets. Traditional models like Generalized Autoregressive Conditional Heteroskedasticity (GARCH) effectively capture volatility clustering but often…

Mathematical Finance · Quantitative Finance 2024-10-23 Pulikandala Nithish Kumar , Nneka Umeorah , Alex Alochukwu

The graph-based model can help to detect suspicious fraud online. Owing to the development of Graph Neural Networks~(GNNs), prior research work has proposed many GNN-based fraud detection frameworks based on either homogeneous graphs or…

Social and Information Networks · Computer Science 2020-07-03 Zhiwei Liu , Yingtong Dou , Philip S. Yu , Yutong Deng , Hao Peng

Apart from assessing individual asset performance, investors in financial markets also need to consider how a set of firms performs collectively as a portfolio. Whereas traditional Markowitz-based mean-variance portfolios are widespread,…

Portfolio Management · Quantitative Finance 2025-02-05 Kamesh Korangi , Christophe Mues , Cristián Bravo

Transaction checkout fraud detection is an essential risk control components for E-commerce marketplaces. In order to leverage graph networks to decrease fraud rate efficiently and guarantee the information flow passed through neighbors…

Machine Learning · Computer Science 2021-10-12 Mingxuan Lu , Zhichao Han , Zitao Zhang , Yang Zhao , Yinan Shan

The recent advent of play-to-earn (P2E) systems in massively multiplayer online role-playing games (MMORPGs) has made in-game goods interchangeable with real-world values more than ever before. The goods in the P2E MMORPGs can be directly…

Machine Learning · Computer Science 2023-06-26 Jiho Choi , Junghoon Park , Woocheol Kim , Jin-Hyeok Park , Yumin Suh , Minchang Sung

The rise of digital payments has caused consequential changes in the financial crime landscape. As a result, traditional fraud detection approaches such as rule-based systems have largely become ineffective. AI and machine learning…

Cryptography and Security · Computer Science 2021-03-05 E. Kurshan , H. Shen

Blockchain technology has the characteristics of decentralization, traceability and tamper proof, which creates a reliable decentralized transaction mode, further accelerating the development of the blockchain platforms. However, with the…

Cryptography and Security · Computer Science 2021-12-08 Jiajun Zhou , Chenkai Hu , Shenbo Gong , Jiaying Xu , Jie Shen , Qi Xuan

The Bitcoin Lightning Network is a layer 2 protocol designed to facilitate fast and inexpensive Bitcoin transactions. It operates by establishing channels between users, where Bitcoin is locked and transactions are conducted off-chain until…

Cryptography and Security · Computer Science 2024-07-12 Rainer Feichtinger , Florian Grötschla , Lioba Heimbach , Roger Wattenhofer

Different types of malicious activities have been flagged in multiple permissionless blockchains such as bitcoin, Ethereum etc. While some malicious activities exploit vulnerabilities in the infrastructure of the blockchain, some target its…

Cryptography and Security · Computer Science 2021-01-29 Rachit Agarwal , Tanmay Thapliyal , Sandeep K. Shukla

Graph anomaly detection (GAD) is crucial in applications like fraud detection and cybersecurity. Despite recent advancements using graph neural networks (GNNs), two major challenges persist. At the model level, most methods adopt a…

Machine Learning · Computer Science 2026-02-06 Chunyu Wei , Siyuan He , Yu Wang , Yueguo Chen , Yunhai Wang , Bing Bai , Yidong Zhang , Yong Xie , Shunming Zhang , Fei Wang

The Spatial-Temporal Graph Attention Network (ST-GAT) framework was created to serve as an explainable GNN-based solution for detecting bank distress early warning signs and for conducting macro-prudential surveillance of the interbank…

Machine Learning · Computer Science 2026-04-17 Mohammad Nasir Uddin

Financial cybercrime prevention is an increasing issue with many organisations and governments. As deep learning models have progressed to identify illicit activity on various financial and social networks, the explainability behind the…

Machine Learning · Computer Science 2023-10-24 Jack Nicholls , Aditya Kuppa , Nhien-An Le-Khac

Detecting illicit nodes on blockchain networks is a valuable task for strengthening future regulation. Recent machine learning-based methods proposed to tackle the tasks are using some blockchain transaction datasets with a small portion of…

Machine Learning · Computer Science 2023-07-25 Junliang Luo , Farimah Poursafaei , Xue Liu

Benford's law describes the distribution of the first digit of numbers appearing in a wide variety of numerical data, including tax records, and election outcomes, and has been used to raise "red flags" about potential anomalies in the data…

Social and Information Networks · Computer Science 2022-05-27 Tianyi Chen , Charalampos E. Tsourakakis

Along with the rapid evolution of mobile communication technologies, such as 5G, there has been a drastically increase in telecom fraud, which significantly dissipates individual fortune and social wealth. In recent years, graph mining…

Machine Learning · Computer Science 2023-03-31 Xinxin Hu , Haotian Chen , Junjie Zhang , Hongchang Chen , Shuxin Liu , Xing Li , Yahui Wang , Xiangyang Xue

Bitcoin (BTC) is probably the most transparent payment network in the world, thanks to the full history of transactions available to the public. Though, Bitcoin is not a fully anonymous environment, rather a pseudonymous one, accounting for…

Cryptography and Security · Computer Science 2021-03-18 Maurantonio Caprolu , Matteo Pontecorvi , Matteo Signorini , Carlos Segarra , Roberto Di Pietro

Anomaly detection is a critical task in cybersecurity, where identifying insider threats, access violations, and coordinated attacks is essential for ensuring system resilience. Graph-based approaches have become increasingly important for…

Cryptography and Security · Computer Science 2026-03-31 Laura Jiang , Reza Ryan , Qian Li , Nasim Ferdosian

Graph-level anomaly detection has become a critical topic in diverse areas, such as financial fraud detection and detecting anomalous activities in social networks. While most research has focused on anomaly detection for visual data such…

Machine Learning · Computer Science 2022-08-05 Chen Qiu , Marius Kloft , Stephan Mandt , Maja Rudolph

The entry of new technological infrastructures into the financial markets poses serious concerns about the misuse of the economic system for illicit purposes, such as money laundering and financing of terrorism. Although there are cases in…

Theoretical Economics · Economics 2024-05-30 Chiara Ferri

The digital revolution has significantly impacted financial transactions, leading to a notable increase in credit card usage. However, this convenience comes with a trade-off: a substantial rise in fraudulent activities. Traditional machine…