case-based recommender systems for personalized finance advisory
TRANSCRIPT
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Cataldo Musto, Giovanni Semeraro
Case-based Recommender Systems for Personalized Finance Advisory
Graz (Austria) - 16.04.2015
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one minute on the Web
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we can handle 126 bits of information we deal with 393 bits of information
ratio: more than 3x(Source: Adrian C.Ott, The 24-hour customer)
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(from Matrix)
decision-making is actually challenging
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paradox of choice(Barry Schwartz, TED talk “Why more is less”)
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(financial) overloadC.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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solution: personalizationC.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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to adapt asset portfolios
on the ground of personal user profile and needs
Insight:
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SolutionRecommender Systems
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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Recommender Systems
Relevant items (movies, news, books, etc.) are suggested to the user according to her preferences.
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definitionRecommender Systems have the goal of guiding the
users in a personalized way to interesting
or useful objects in a large space of possible options.
Burke, 2002 (*)(*) Robin D. Burke: Hybrid Recommender Systems: Survey and Experiments. UMUAI, volume 12, issue 4, 331-370 (2002)
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does it fit our scenario?“we are leaving the age of information, we are entering the age of recommendation”
(C.Anderson, The Long Tail. Wired. October 2004)
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Recommender Systems
“[...] The technology is used by shopping websites such as Amazon, which receives about 35 percent of its revenue via product recommendations. It is also used by coupon sites like Groupon; by travel sites to suggest flights, hotels, and rental cars; by social-networking sites such as LinkedIn; by video sites like Netflix to recommend movies and TV shows, and by music, news, and food sites to suggest songs, news stories, and restaurants, respectively. Even financial-services firms recently began using recommender systems to provide alerts for investors about key market events in which they might be interested”
(N.Leavitt, “A technology that comes highly recommended” - http://tinyurl.com/d5y5hyl)
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Recommender Systemsfinancial services
http://www.bloomberg.com/news/articles/2015-03-16/smart-beta-etfs-attract-billions-with-critics-blaming-dumb-money
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Recommender Systemssuccess stories
“People who bought…”on Amazon
“Discover”on Spotify
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Recommender SystemsRecommender Systemsunexpected stories
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Recommender SystemsRecommender Systemsunexpected stories
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Recommender SystemsRecommender Systemsunexpected stories
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Recommender SystemsRecommender Systemsunexpected stories
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recommending financial products is a complex task
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flocking
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flocking
Too many users could be moved towards the same suggestions
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flocking
consequence: price manipulation (as in trader forums)
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poor knowledge
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Features describing both assets classes and private investors are
poorly meaningful
poor knowledge
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poor history
A combination of asset classes is typically kept for a long time
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Solution
Case-based Recommender SystemsC.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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case-based RSs• Inspired by case-based reasoning
• Similar problems solved in the past are used as knowledge base
• Reasoning by analogy
• The recommendation process relies on the retrieval and the adaptation of the solutions adopted to solve similar cases
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....butwhat do we actually mean with ‘case’ ?
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case base
• A case is a the formalization of a previously solved problem
• In our setting
• Description of a user
• Description of a portfolio
• An evaluation of the proposed solution
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case-baseexample
user solution evaluation
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case-baseexample
user solution evaluation
User Features Risk Profile: LowFinancial Experience: HighFinancial Situation: Very HighInvestment Goals: MediumTemporal Goals: Medium
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case-baseexample
user solution evaluation
User Features Risk Profile: LowFinancial Experience: HighFinancial Situation: Very HighInvestment Goals: MediumTemporal Goals: Medium
Euro Bonds 30%
High-Yield Bonds 10%
Fixed-Rate bonds 22%
Euro Stocks 23%
Emerging Market Stocks 7%
Money Market 8%
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case-baseexample
user solution evaluation
User Features Risk Profile: LowFinancial Experience: HighFinancial Situation: Very HighInvestment Goals: MediumTemporal Goals: Medium
monthly rate (e.g.)
+0.22%
Euro Bond 30%
High-Yield Bonds 10%
Fixed-Rate bonds 22%
Euro Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
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case-based RSssolving cycle
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case-based reasoning for personalized wealth management
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scenario
“Scrooge McDuck wants to get richer. He decided to invest some of his savings and he asked for help to a
financial advisor”
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step 1 user modeling
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scenario
Which features may describe
Scrooge McDuck?
step 1
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scenario
User Features Risk Profile: Low
Investment Horizon HighInvestment Experience Very High
Investment Goals: MediumFinancial Assets: Medium
step 1
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User Features Risk Profile: Low
Investment Horizon HighInvestment Experience Very High
Investment Goals: MediumFinancial Assets: Medium
scenario
MiFID-based
step 1
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scenariostep 1
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
+Generic Demographical Features
User Features Risk Profile: Low
Investment Horizon HighInvestment Experience Very High
Investment Goals: MediumFinancial Assets: Medium
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in a classical pipeline, the target user
would have received a “model” portfolio tailored on her profile
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in a pipeline fostered by a recommender system, the financial advisor can analyze the portfolios proposed to similar users
to tailor the proposal
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step 2 neighbors identification
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given a case base, it is necessary to
define a similarity measure to compute how similar two cases are
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neighbors identificationtrivial similarity: user match
two cases are similar if they share exactly the same features
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trivial similarity: user match
two cases are similar if they share exactly the same features
neighbors identification
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neighbors identification
cases are represented as points in a vector space
geometrical alternative: cosine similarity
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geometrical representationC.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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geometrical alternative: cosine similarityneighbors identification
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case-based RSsgeometrical alternative: cosine similarity
each case is seen as a vector
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case-based RSsgeometrical alternative: cosine similarity
calculation over the n features
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case-based RSsgeometrical alternative: cosine similarity
calculation over the n features
= (risk profile, experience, goals, etc.)
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case-based RSsgeometrical alternative: cosine similarity
inner product
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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case-based RSsgeometrical alternative: cosine similarity
it returns the cosine of the angle between A and B
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case-based RSsgeometrical alternative: cosine similarity
case_A
case_B
cosine
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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scenario
case base
step 2
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scenariostep 2
0.3
0.7
0.9
0.1
similarity score
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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scenariostep 2
0.3
0.7
0.9
0.1
neighborhood(helpful cases)
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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step 3 extraction of candidate portfolios
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scenario
Euro Bonds 30%High Yield Bonds 15%Fixed Rate Bonds 15%
Europe Stocks 20%Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds 30%High Yield Bonds 10%Fixed Rate Bonds 22%
Europe Stocks 23%Emerging Markets Stocks 7%Flessibili Bassa Volatilità 8%
step 2
solutions proposed to the neighbors are labeled as candidate solutions
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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step 4 ranking of candidate portfolios
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in real-world scenarios, the case base
contains many helpful cases
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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in real-world scenarios, the case base
contains many helpful cases
it is necessary to introduce strategies to filter and rank the cases
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revise
We implemented several ranking strategies
• Temporal ranking
• Clustering
• Diversification
• Financial Confidence Value (FCV)
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revisetemporal ranking
solutions are ranked from the newest to the oldest (or viceversa)
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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Euro Bonds 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks 35%
Emerging Markets Stocks 5%
Money Market 8%
revisetemporal ranking
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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Euro Bonds 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks 20%
Emerging Markets Stocks 12%
Money Market 8%
olderolder
Euro Bonds 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks 35%
Emerging Markets Stocks 5%
Money Market 8%
revisetemporal ranking
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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clustering
solutions are clustered and just a small set of centroids is proposed
revise
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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clusteringrevise
Euro Bonds 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks 35%
Emerging Markets Stocks 5%
Money Market 8%
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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clusteringcluster 1
reviseEuro Bonds 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks 35%
Emerging Markets Stocks 5%
Money Market 8%
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clusteringcluster 1 cluster 2
reviseEuro Bonds 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks 35%
Emerging Markets Stocks 5%
Money Market 8%
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insight: filtering out too similar solutions
diversification algorithmrevise
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revise
identification of the best subset of similar cases which maximize the relative diversity
diversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revisediversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revise
input similar cases
(candidate solutions)
diversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revise
output subset of
diversified cases
diversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revise
algorithm in each step the portfolio which best diversifies the solutions is
chosen
diversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revise
Solutions with the highest quality are iteratively
chosen
diversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revise
combination between
similarity and diversity
diversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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it returns portfolios that are not so similar to those
previously put in the result set
revisediversification algorithm
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revisediversification algorithm
Euro Bonds 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks 35%
Emerging Markets Stocks 5%
Money Market 8%
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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revisediversification algorithm
Euro Bonds 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks 35%
Emerging Markets Stocks 5%
Money Market 8% XXC.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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reviseFinancial Confidence Value (FCV)
• Simple insight
• We know the historical yield for each of the assets class in the portfolio
• FCV ranks first the solutions composed by a combination of asset classes close to the optimal one (according to previous yield)
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revise
(Generated yield) (Drift Factor)Total yield is the product of the
yield generated by each asset
class with the its percentage in the
portfolio
Ratio between the yield
generated by the asset classes in the portfolio and its complement
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
Financial Confidence Value (FCV)
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revise
Euro Bonds - - - 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks +++ 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds - - - 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks +++ 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds - - - 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks +++ 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds - - - 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks +++ 35%
Emerging Markets Stocks 5%
Money Market 8%
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
Financial Confidence Value (FCV)
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revise
Euro Bonds - - - 30%
High Yield Bonds 15%
Fixed Rate Bonds 15%
Europe Stocks +++ 20%
Emerging Markets Stocks 12%
Money Market 8%
Euro Bonds - - - 30%
High Yield Bonds 10%
Fixed Rate Bonds 22%
Europe Stocks +++ 23%
Emerging Markets Stocks 7%
Money Market 8%
Euro Bonds - - - 15%
High Yield Bonds 25%
Fixed Rate Bonds 10%
Europe Stocks +++ 40%
Emerging Markets Stocks 2%
Money Market 8%
Euro Bonds - - - 20%
High Yield Bonds 20%
Fixed Rate Bonds 12%
Europe Stocks +++ 35%
Emerging Markets Stocks 5%
Money Market 8%
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
Financial Confidence Value (FCV)
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step 5 discussion of the solution
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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financial advisor and private investor
can further discuss the portfolio
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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review
Original Discussed Gap
Euro Bonds 30% 30%High Yield Bonds 12.5% 10% -2.5%Fixed Rate Bonds 18.5% 20% +1.5%
Europe Stocks 21.5% 24% +2.5%Emerging Markets
Stocks 9.5% 8% -1.5%Money Market 8% 8%
interactive personalization
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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step 6 case base update
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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an evaluation score is finally assigned to the proposed solution
yield, e.g.
retain
good solutions are stored in the case base and exploited for future recommendations
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case base
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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(new) case base
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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our implementation
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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our implementationhttp://193.204.187.192:8080/OBWFinance
demo available
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinancelogin screen
advisor-oriented tool
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinanceclient selection
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinancerecommendation parameters
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinanceonly admins can change the parameters
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinanceone click to generate recommendations
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinancedrop-down menu for selecting the best solution
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinanceassets class
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinanceyield of the solution
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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OBWFinancechosen portfolio can be further discussed
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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evaluation
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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evaluationwhat is the average yield of
recommended portfolios?
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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evaluationwhat is the average yield of
recommended portfolios?
can recommender systems suggest
better investment portfolios than human advisors?
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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design of the experiment
• 1172 users
• 19 assets classes
• Different neighborhood sizes
• Different features describing the users
• Risk Profile, Investment Goals, Investment Horizon, Investment Experience, Financial Assets, Advice Type, Sex, Age
• Different similarity measures (Cosine vs. UserMatch)
• Leave-one-out experimental design
evaluation
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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experiment 1user match vs. cosine similarity
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
Yiel
d
0
0,04
0,08
0,12
0,16
0,2
neighbors
1 5 10
0,20,190,18
0,10,110,09
User Match Cosine Sim
cosine similarity overcomes user match
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experiment 2how many features?
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
Yiel
d
0
0,042
0,084
0,126
0,168
0,21
neighbors
1 5 10
0,20,210,2 0,20,190,18
Financial Features Financial + Demographical Features
cosine similarity overcomes user match
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experiment 3revise strategies (yield)
best performing configuration provides 0,28% monthly yield
Yiel
d
0
0,056
0,112
0,168
0,224
0,28
neighbors
1 5 10
0,250,240,22
0,270,28
0,220,2
0,150,13 0,14
0,120,09
0,20,210,2
Basic Clustering Diversification FCV FCV + Div
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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experiment 3revise strategies (diversity of the solutions)
ILD=1-average similarity between portfolios
Intra
-Lis
t Div
ersi
ty (I
LD)
0
0,14
0,28
0,42
0,56
0,7
neighbors
0,58
0,35
0,7
0,460,41
Basic Clustering Diversification FCV FCV + Div
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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experiment 4comparison to baselines (leave-one-out evaluation)
recsys better than humans!
Yiel
d
0
0,056
0,112
0,168
0,224
0,28
neighbors
1 5 10
0,270,28
0,220,20,20,2
0,170,170,17
Human Collaborative FCV
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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• FCV calculated on January, 2014
• Recommendations generated on January, 2014
• Evaluation of the yield generated from February 2014 to July 2014
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
experiment 5ex-post evaluation (6 months, with real data)
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experiment 5ex-post evaluation (6 months, with real data)
FCV and Diversification is the best one
Yiel
d
0
0,032
0,064
0,096
0,128
0,16
neighbors
1 5 10
0,060,060,060,040,04
0,05
0,110,12
0,16
0,090,1
0,16
0,060,08
0,15
Basic FCV FCV + Div Collaborative Human
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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• Personalized Wealth Management
• Application of case-based reasoning
• Geometrical similarity measure to identify the most similar previously solved cases
• Introduction of diversification and re-ranking techniques
• More than 3% yield for year
• Experiments shows that recommended portfolios overcome the real ones for almost all the users
• Working Demo!
recap
C.Musto, G.Semeraro - Case-based Recommender Systems for Personalized Finance Advisory FinRec 2015 - 1st International Workshop on Personalization and Recommender Systems in Financial Services - Graz (Austria) - 16.04.2015
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questions?
Giovanni Semeraro [email protected]
Cataldo Musto [email protected]
in memoriam
Aaron Swartz