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FinSurvival: A Suite of Large Scale Survival Modeling Tasks from Finance

Survival modeling predicts the time until an event occurs and is widely used in risk analysis; for example, it's used in medicine to predict the survival of a patient based on censored data. There is a need for large-scale, realistic, and freely available datasets for benchmarking artificial intelligence (AI) survival models. In this paper, we derive a suite of 16 survival modeling tasks from publicly available transaction data generated by lending of cryptocurrencies in Decentralized Finance (DeFi). Each task was constructed using an automated pipeline based on choices of index and outcome events. For example, the model predicts the time from when a user borrows cryptocurrency coins (index event) until their first repayment (outcome event). We formulate a survival benchmark consisting of a suite of 16 survival-time prediction tasks (FinSurvival). We also automatically create 16 corresponding classification problems for each task by thresholding the survival time using the restricted mean survival time. With over 7.5 million records, FinSurvival provides a suite of realistic financial modeling tasks that will spur future AI survival modeling research. Our evaluation indicated that these are challenging tasks that are not well addressed by existing methods. FinSurvival enables the evaluation of AI survival models applicable to traditional finance, industry, medicine, and commerce, which is currently hindered by the lack of large public datasets. Our benchmark demonstrates how AI models could assess opportunities and risks in DeFi. In the future, the FinSurvival benchmark pipeline can be used to create new benchmarks by incorporating more DeFi transactions and protocols as the use of cryptocurrency grows.

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