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Theses

Machine Learning for Financial Products Recommendation

Abstract : Anticipating clients’ needs is crucial to any business — this is particularly true for corporate and institutional banks such as BNP Paribas Corporate and Institutional Banking due to their role in the financial markets. This thesis addresses the problem of future interests prediction in the financial context and focuses on the development of ad hoc algorithms designed for solving specific financial challenges.This manuscript is composed of five chapters:- Chapter 1 introduces the problem of future interests prediction in the financial world. The goal of this chapter is to provide the reader with all the keys necessary to understand the remainder of this thesis. These keys are divided into three parts: a presentation of the datasets we have at our disposal to solve the future interests prediction problem and their characteristics, an overview of the candidate algorithms to solve this problem, and the development of metrics to monitor the performance of these algorithms on our datasets. This chapter finishes with some of the challenges that we face when designing algorithms to solve the future interests problem in finance, challenges that will be partly addressed in the following chapters;- Chapter 2 proposes a benchmark of some of the algorithms introduced in Chapter 1 on a real-word dataset from BNP Paribas CIB, along with a development on the difficulties encountered for comparing different algorithmic approaches on a same dataset and on ways to tackle them. This benchmark puts in practice classic recommendation algorithms that were considered on a theoretical point of view in the preceding chapter, and provides further intuition on the analysis of the metrics introduced in Chapter 1;- Chapter 3 introduces a new algorithm, called Experts Network, that is designed to solve the problem of behavioral heterogeneity of investors on a given financial market using a custom-built neural network architecture inspired from mixture-of-experts research. In this chapter, the introduced methodology is experimented on three datasets: a synthetic dataset, an open-source one and a real-world dataset from BNP Paribas CIB. The chapter provides further insights into the development of the methodology and ways to extend it;- Chapter 4 also introduces a new algorithm, called History-augmented Collaborative Filtering, that proposes to augment classic matrix factorization approaches with the information of users and items’ interaction histories. This chapter provides further experiments on the dataset used in Chapter 2, and extends the presented methodology with various ideas. Notably, this chapter exposes an adaptation of the methodology to solve the cold-start problem and applies it to a new dataset;- Chapter 5 brings to light a collection of ideas and algorithms, successful or not, that were experimented during the development of this thesis. This chapter finishes on a new algorithm that blends the methodologies introduced in Chapters 3 and 4.
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Baptiste Barreau. Machine Learning for Financial Products Recommendation. Computational Engineering, Finance, and Science [cs.CE]. Université Paris-Saclay, 2020. English. ⟨NNT : 2020UPAST010⟩. ⟨tel-02974918⟩

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