Title: Detection of Anomalies in Large Scale Accounting Data using Deep Autoencoder Networks,
Abstract: Learning to detect fraud in large-scale accounting data is one of the
long-standing challenges in financial statement audits or fraud investigations.
Nowadays, the majority of applied techniques refer to handcrafted rules derived
from known fraud scenarios. While fairly successful, these rules exhibit the
drawback that they often fail to generalize beyond known fraud scenarios and
fraudsters gradually find ways to circumvent them. To overcome this
disadvantage and inspired by the recent success of deep learning we propose the
application of deep autoencoder neural networks to detect anomalous journal
entries. We demonstrate that the trained network's reconstruction error
obtainable for a journal entry and regularized by the entry's individual
attribute probabilities can be interpreted as a highly adaptive anomaly
assessment. Experiments on two real-world datasets of journal entries, show the
effectiveness of the approach resulting in high f1-scores of 32.93 (dataset A)
and 16.95 (dataset B) and less false positive alerts compared to state of the
art baseline methods. Initial feedback received by chartered accountants and
fraud examiners underpinned the quality of the approach in capturing highly
relevant accounting anomalies.