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1.
    
Both international and US auditing standards require auditors to evaluate the risk of bankruptcy when planning an audit and to modify their audit report if the bankruptcy risk remains high at the conclusion of the audit. Bankruptcy prediction is a problematic issue for auditors as the development of a cause–effect relationship between attributes that may cause or be related to bankruptcy and the actual occurrence of bankruptcy is difficult. Recent research indicates that auditors only signal bankruptcy in about 50% of the cases where companies subsequently declare bankruptcy. Rough sets theory is a new approach for dealing with the problem of apparent indiscernibility between objects in a set that has had a reported bankruptcy prediction accuracy ranging from 76% to 88% in two recent studies. These accuracy levels appear to be superior to auditor signalling rates, however, the two prior rough sets studies made no direct comparisons to auditor signalling rates and either employed small sample sizes or non‐current data. This study advances research in this area by comparing rough set prediction capability with actual auditor signalling rates for a large sample of United States companies from the 1991 to 1997 time period. Prior bankruptcy prediction research was carefully reviewed to identify 11 possible predictive factors which had both significant theoretical support and were present in multiple studies. These factors were expressed as variables and data for 11 variables was then obtained for 146 bankrupt United States public companies during the years 1991–1997. This sample was then matched in terms of size and industry to 145 non‐bankrupt companies from the same time period. The overall sample of 291 companies was divided into development and validation subsamples. Rough sets theory was then used to develop two different bankruptcy prediction models, each containing four variables from the 11 possible predictive variables. The rough sets theory based models achieved 61% and 68% classification accuracy on the validation sample using a progressive classification procedure involving three classification strategies. By comparison, auditors directly signalled going concern problems via opinion modifications for only 54% of the bankrupt companies. However, the auditor signalling rate for bankrupt companies increased to 66% when other opinion modifications related to going concern issues were included. In contrast with prior rough sets theory research which suggested that rough sets theory offered significant bankruptcy predictive improvements for auditors, the rough sets models developed in this research did not provide any significant comparative advantage with regard to prediction accuracy over the actual auditors' methodologies. The current research results should be fairly robust since this rough sets theory based research employed (1) a comparison of the rough sets model results to actual auditor decisions for the same companies, (2) recent data, (3) a relatively large sample size, (4) real world bankruptcy/non‐bankruptcy frequencies to develop the variable classifications, and (5) a wide range of industries and company sizes. Copyright © 2003 John Wiley & Sons, Ltd.  相似文献   

2.
    
The purpose of this paper is to build an alternative method of bankruptcy prediction that accounts for some deficiencies in previous approaches that resulted in poor out‐of‐sample performances. Most of the traditional approaches suffer from restrictive presumptions and structural limitations and fail to reflect the panel properties of financial statements and/or the common macroeconomic influence. Extending the work of Shumway (2001), we present a duration model with time‐varying covariates and a baseline hazard function incorporating macroeconomic dependencies. Using the proposed model, we investigate how the hazard rates of listed companies in the Korea Stock Exchange (KSE) are affected by changes in the macroeconomic environment and by time‐varying covariate vectors that show unique financial characteristics of each company. We also investigate out‐of‐sample forecasting performances of the suggested model and demonstrate improvements produced by allowing temporal and macroeconomic dependencies. Copyright © 2008 John Wiley & Sons, Ltd.  相似文献   

3.
    
Financial distress prediction (FDP) has attracted high attention from many financial institutions. Utilizing supervised learning-based methods in FDP, however, is time consuming and labor intensive. Therefore, in this paper, we exploit active-pSVM method, which combines potential data distribution information and existing expert experience to solve FDP problem. Moreover, with the increasingly popular textual information, we construct several features on our protocol that are based on the Management Discussion and Analysis (MD&A) text information. Using datasets that are collected in different time windows from the listed Chinese companies, we conducted an extensive experiment and were able to confirm a better efficiency of our active-pSVM, when compared with some common supervised learning-based methods. Our study also covers the application of MD&A text information on weakly supervised learning model in FDP.  相似文献   

4.
    
This research proposes a prediction model of multistage financial distress (MSFD) after considering contextual and methodological issues regarding sampling, feature and model selection criteria. Financial distress is defined as a three‐stage process showing different nature and intensity of financial problems. It is argued that applied definition of distress is independent of legal framework and its predictability would provide more practical solutions. The final sample is selected after industry adjustments and oversampling the data. A wrapper subset data mining approach is applied to extract the most relevant features from financial statement and stock market indicators. An ensemble approach using a combination of DTNB (decision table and naïve base hybrid model), LMT (logistic model tree) and A2DE (alternative N dependence estimator) Bayesian models is used to develop the final prediction model. The performance of all the models is evaluated using a 10‐fold cross‐validation method. Results showed that the proposed model predicted MSFD with 84.06% accuracy. This accuracy increased to 89.57% when a 33.33% cut‐off value was considered. Hence the proposed model is accurate and reliable to identify the true nature and intensity of financial problems regardless of the contextual legal framework.  相似文献   

5.
    
Auditors must assess their clients' ability to function as a going concern for at least the year following the financial statement date. The audit profession has been severely criticized for failure to ‘blow the whistle’ in numerous highly visible bankruptcies that occurred shortly after unmodified audit opinions were issued. Financial distress indicators examined in this study are one mechanism for making such assessments. This study measures and compares the predictive accuracy of an easily implemented two‐variable bankruptcy model originally developed using recursive partitioning on an equally proportioned data set of 202 firms. In this study, we test the predictive accuracy of this model, as well as previously developed logit and neural network models, using a realistically proportioned set of 14,212 firms' financial data covering the period 1981–1990. The previously developed recursive partitioning model had an overall accuracy for all firms ranging from 95 to 97% which outperformed both the logit model at 93 to 94% and the neural network model at 86 to 91%. The recursive partitioning model predicted the bankrupt firms with 33–58% accuracy. A sensitivity analysis of recursive partitioning cutting points indicated that a newly specified model could achieve an all firm and a bankrupt firm predictive accuracy of approximately 85%. Auditors will be interested in the Type I and Type II error tradeoffs revealed in a detailed sensitivity table for this easily implemented model. Copyright © 2000 John Wiley & Sons, Ltd.  相似文献   

6.
    
In this study, new variants of genetic programming (GP), namely gene expression programming (GEP) and multi‐expression programming (MEP), are utilized to build models for bankruptcy prediction. Generalized relationships are obtained to classify samples of 136 bankrupt and non‐bankrupt Iranian corporations based on their financial ratios. An important contribution of this paper is to identify the effective predictive financial ratios on the basis of an extensive bankruptcy prediction literature review and upon a sequential feature selection analysis. The predictive performance of the GEP and MEP forecasting methods is compared with the performance of traditional statistical methods and a generalized regression neural network. The proposed GEP and MEP models are effectively capable of classifying bankrupt and non‐bankrupt firms and outperform the models developed using other methods. Copyright © 2011 John Wiley & Sons, Ltd.  相似文献   

7.
    
Financial distress prediction (FDP) has been widely considered as a promising approach to reducing financial losses. While financial information comprises the traditional factors involved in FDP, nonfinancial factors have also been examined in recent studies. In light of this, the purpose of this study is to explore the integrated factors and multiple models that can improve the predictive performance of FDP models. This study proposes an FDP framework to reveal the financial distress features of listed Chinese companies, incorporating financial, management, and textual factors, and evaluating the prediction performance of multiple models in different time spans. To develop this framework, this study employs the wrapper-based feature selection method to extract valuable features, and then constructs multiple single classifiers, ensemble classifiers, and deep learning models in order to predict financial distress. The experiment results indicate that management and textual factors can supplement traditional financial factors in FDP, especially textual ones. This study also discovers that integrated factors collected 4 years prior to the predicted benchmark year enable a more accurate prediction, and the ensemble classifiers and deep learning models developed can achieve satisfactory FDP performance. This study makes a novel contribution as it expands the predictive factors of financial distress and provides new findings that can have important implications for providing early warning signals of financial risk.  相似文献   

8.
    
Agriculture is facing significant challenges in the development of crop yield forecasts, which are important aspects of decision-making at the international, regional, and local levels. The area of agriculture is attracting growing attention because of increasing the demand for food supplies. To ensure future food supplies, crop yield prediction (CYP) provides the best decision-making to assist farmers in agricultural yield forecasting efficiently. Nevertheless, CYP is a difficult endeavor because of the intricacy of the underlying mechanisms and the effect of numerous factors, including weather patterns, soil characteristics, and crop management techniques. In today's era, ensemble learning (EL) approaches have recently demonstrated significant promise for enhancing the reliability and accuracy of CYP. The success of the EL techniques depends on several facts, including how the base learner models are trained and how these are combined. This study provides important insights into the EL techniques for CYP. This paper proposes an expert system model named precise ensemble expert system for crop yield prediction (PEESCYP) to predict the best crop for agricultural land. The proposed PEESCYP model employs multiple imputation by chained equation (MICE) data imputation technique to treat the missing values of the collected dataset, the isolation forest (IF) technique for outlier detection, the ant colony optimization (ACO) technique to perform feature selection, robust scaling (RS) technique to perform data normalization, and the extra tree (ET) is used for classification to overcome the variance and overfitting problem of the single classifiers. The measurements of the proposed PEESCYP model have been collected by means of accuracy, precision, recall, and F-1 score using a prepared dataset, which is collected from International Crops Research Institute for the Semi-Arid Tropics (ICRISAT), and the proposed model is compared with different single-classifier based ML models, EL models, and various existing models available in the literature. The results of this experiment underline that the proposed PEESCYP model outperforms the others.  相似文献   

9.
    
This study analyzes the nonlinear relationships between accounting‐based key performance indicators and the probability that the firm in question will become bankrupt or not. The analysis focuses particularly on young firms and examines whether these nonlinear relationships are affected by a firm's age. The analysis of nonlinear relationships between various predictors of bankruptcy and their interaction effects is based on a structured additive regression model and on a comprehensive data set on German firms. The results of this analysis provide empirical evidence that a firm's age has a considerable effect on how accounting‐based key performance indicators can be used to predict the likelihood that a firm will go bankrupt. More specifically, the results show that there are differences between older firms and young firms with respect to the nonlinear effects of the equity ratio, the return on assets, and the sales growth on their probability of bankruptcy.  相似文献   

10.
    
This study examines whether the evaluation of a bankruptcy prediction model should take into account the total cost of misclassification. For this purpose, we introduce and apply a validity measure in credit scoring that is based on the total cost of misclassification. Specifically, we use comprehensive data from the annual financial statements of a sample of German companies and analyze the total cost of misclassification by comparing a generalized linear model and a generalized additive model with regard to their ability to predict a company's probability of default. On the basis of these data, the validity measure we introduce shows that, compared to generalized linear models, generalized additive models can reduce substantially the extent of misclassification and the total cost that this entails. The validity measure we introduce is informative and justifies the argument that generalized additive models should be preferred, although such models are more complex than generalized linear models. We conclude that to balance a model's validity and complexity, it is necessary to take into account the total cost of misclassification.  相似文献   

11.
This paper uses a meta‐analysis to survey existing factor forecast applications for output and inflation and assesses what causes large factor models to perform better or more poorly at forecasting than other models. Our results suggest that factor models tend to outperform small models, whereas factor forecasts are slightly worse than pooled forecasts. Factor models deliver better predictions for US variables than for UK variables, for US output than for euro‐area output and for euro‐area inflation than for US inflation. The size of the dataset from which factors are extracted positively affects the relative factor forecast performance, whereas pre‐selecting the variables included in the dataset did not improve factor forecasts in the past. Finally, the factor estimation technique may matter as well. Copyright © 2008 John Wiley & Sons, Ltd.  相似文献   

12.
    
Foreign exchange market prediction is attractive and challenging. According to the efficient market and random walk hypotheses, market prices should follow a random walk pattern and thus should not be predictable with more than about 50% accuracy. In this article, we investigate the predictability of foreign exchange spot rates of the US dollar against the British pound to show that not all periods are equally random. We used the Hurst exponent to select a period with great predictability. Parameters for generating training patterns were determined heuristically by auto‐mutual information and false nearest‐neighbor methods. Some inductive machine‐learning classifiers—artificial neural network, decision tree, k‐nearest neighbor, and naïve Bayesian classifier—were then trained with these generated patterns. Through appropriate collaboration of these models, we achieved a prediction accuracy of up to 67%. Copyright © 2009 John Wiley & Sons, Ltd.  相似文献   

13.
    
I propose principles and methods for the construction of a time‐simultaneous prediction band for a univariate time series. The methods are entirely based on a learning sample of time trajectories, and make no parametric assumption about its distribution. Hence, the methods are general and widely applicable. The expected coverage probability of a band can be estimated by a bootstrap procedure. The estimate is likely to be less than the nominal level. Expected lack of coverage can be compensated for by increasing the coverage in the learning sample. Applications to simulated and empirical data illustrate the methods. Copyright © 2007 John Wiley & Sons, Ltd.  相似文献   

14.
    
The 2021–2022 surge in US inflation was unanticipated by the Survey of Professional Forecasters (SPF) and other macroeconomists and institutions. This study assesses whether nascent deep learning frameworks and methods more accurately project recent core personal consumption expenditures inflation. We create a recurrent neural network (RNN) to forecast long-term inflation, and after training on 60 years of quarterly data, the model outperforms the SPF and projects a spike in inflation similar to that of recent years. We compare the model's performance with and without COVID-19–specific data and discuss some implications of our findings for economic forecasting in global crises.  相似文献   

15.
支持向量机包括支持向量回归机和支持向量分类机.本文提出了一种用于旋转机械转子故障预示的方法,通过支持向量分类机（SVC）对旋转机械转子故障进行分类并建立故障分类器,利用支持向量回归机（SVR）对转子运行状态趋势进行预示,并将预示结果输入到SVC以判断预示结果的属性.对支持向量回归机进行了仿真研究.将支持向量机与神经网络算法从理论和实验研究两个方面进行了对比研究,结果表明,该方法具有较好的故障预示能力.  相似文献   

16.
    
The extreme learning machine (ELM) is a type of machine learning algorithm for training a single hidden layer feedforward neural network. Randomly initializing the weight between the input layer and the hidden layer and the threshold of each hidden layer neuron, the weight matrix of the hidden layer can be calculated by the least squares method. The efficient learning ability in ELM makes it widely applicable in classification, regression, and more. However, owing to some unutilized information in the residual, there are relatively huge prediction errors involving ELM. In this paper, a deep residual compensation extreme learning machine model (DRC-ELM) of multilayer structures applied to regression is presented. The first layer is the basic ELM layer, which helps in obtaining an approximation of the objective function by learning the characteristics of the sample. The other layers are the residual compensation layers in which the learned residual is corrected layer by layer to the predicted value obtained in the previous layer by constructing a feature mapping between the input layer and the output of the upper layer. This model is applied to two practical problems: gold price forecasting and airfoil self-noise prediction. We used the DRC-ELM with 50, 100, and 200 residual compensation layers respectively for experiments, which show that DRC-ELM does better in generalization and robustness than classical ELM, improved ELM models such as GA-RELM and OS-ELM, and other traditional machine learning algorithms such as support vector machine (SVM) and back-propagation neural network (BPNN).  相似文献   

17.
    
Air pollution has received more attention from many countries and scientists due to its high threat to human health. However, air pollution prediction remains a challenging task because of its nonstationarity, randomness, and nonlinearity. In this research, a novel hybrid system is successfully developed for PM2.5 concentration prediction and its application in health effects and economic loss assessment. First, an efficient data mining method is adopted to capture and extract the primary characteristic of PM2.5 dataset and alleviate the noises' adverse effects. Second, Harris hawks optimization algorithm is introduced to tune the extreme learning machine model with high prediction accuracy, then the optimized extreme learning machine can be established to obtain the forecasting values of PM2.5 series. Next, PM2.5-related health effects and economic costs was estimated based on the predicted PM2.5 values, the related health effects, and environmental value assessment methods. Several experiments are designed using three daily PM2.5 datasets from Beijing, Tianjin, and Shijiazhuang. Lastly, the corresponding experimental results showed that this proposed system can not only provide early warning information for environmental management, assist in the formulation of effective measures to reduce air pollutant emissions, and prevent health problems but also help for further research and application in different fields, such as health issues due to PM2.5 pollutant.  相似文献   

18.
    
This study presents a method of assessing financial statement fraud risk. The proposed approach comprises a system of financial and non‐financial risk factors, and a hybrid assessment method that combines machine learning methods with a rule‐based system. Experiments are performed using data from Chinese companies by four classifiers (logistic regression, back‐propagation neural network, C5.0 decision tree and support vector machine) and an ensemble of those classifiers. The proposed ensemble of classifiers outperform each of the four classifiers individually in accuracy and composite error rate. The experimental results indicate that non‐financial risk factors and a rule‐based system help decrease the error rates. The proposed approach outperforms machine learning methods in assessing the risk of financial statement fraud. Copyright © 2014 John Wiley & Sons, Ltd.  相似文献   

19.
机器学习面临的挑战   总被引：1，自引：0，他引：1  
该文讨论了机器学习目前面临的几个挑战,包括：高维特征空间和数据量问题,大数据量的计算困难,寻求最优解的困难和可解释性差等问题．然后针对当前很多人关心的几个重要问题,例如大数据问题,深度学习,概率图模型等做了分析,以引起深入思考．  相似文献   

20.
    
Forecasting and analyzing corporate financial performance are of significant value to investors, managers, and regulators. In this paper, we constructed the one-dimensional convolutional neural networks (1D-CNN) and long short-term memory (LSTM) deep learning models to investigate the feasibility of forecasting corporate financial performance with deep learning models, using the corporate financial features and environment, social and governance (ESG) rating index of Chinese A-share listed corporation data from 2015 to 2021. Five evaluation metrics were employed to measure models' forecasting effects, and four competing machine learning models were built to verify the improvement in forecasting accuracy brought by the deep learning models. Furthermore, we also introduced the Accumulated Local Effects method to explore the forecasting processes of the deep learning models. The empirical results show the following: (1) Deep learning models can effectively extract the time-series information in corporate data, thereby solving the task of predicting corporate financial performance with high accuracy. (2) The introduction of ESG information significantly contributes to the forecasting accuracy of corporate financial performance. For both 1D-CNN and LSTM models, the ESG rating index can provide additional useful information for forecasting. (3) The interpretable results reveal the preference and emphasis of the two deep learning models for the different features. This further proves the robustness and reliability of deep learning models in forecasting corporate financial performance.  相似文献   

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