scholarly journals Combination of Biorthogonal Wavelet Hybrid Kernel OCSVM with Feature Weighted Approach Based on EVA and GRA in Financial Distress Prediction

2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Author(s):  
Chao Huang ◽  
Fei Gao ◽  
Hongyan Jiang
Keyword(s):  
Kernel Function ◽  
Financial Distress ◽  
Economic Value ◽  
Value Added ◽  
Real Data ◽  
Support Vector ◽  
Biorthogonal Wavelet ◽  
Financial Distress Prediction ◽  
Distress Prediction ◽  
Hybrid Kernel

Financial distress prediction plays an important role in the survival of companies. In this paper, a novel biorthogonal wavelet hybrid kernel function is constructed by combining linear kernel function with biorthogonal wavelet kernel function. Besides, a new feature weighted approach is presented based on economic value added (EVA) and grey relational analysis (GRA). Considering the imbalance between financially distressed companies and normal ones, the feature weighted one-class support vector machine based on biorthogonal wavelet hybrid kernel (BWH-FWOCSVM) is further put forward for financial distress prediction. The empirical study with real data from the listed companies on Growth Enterprise Market (GEM) in China shows that the proposed approach has good performance.

Financial Distress Prediction Based on Support Vector Machine with a Modified Kernel Function

2016 ◽  
Vol 25 (3) ◽  
pp. 417-429
Author(s):  
Chong Wu ◽  
Lu Wang ◽  
Zhe Shi
Keyword(s):  
Support Vector Machine ◽  
Kernel Function ◽  
Financial Distress ◽  
Classification Accuracy ◽  
Feature Space ◽  
Support Vector ◽  
Input Space ◽  
Financial Distress Prediction ◽  
Support Vectors ◽  
Distress Prediction

AbstractFor the financial distress prediction model based on support vector machine, there are no theories concerning how to choose a proper kernel function in a data-dependent way. This paper proposes a method of modified kernel function that can availably enhance classification accuracy. We apply an information-geometric method to modifying a kernel that is based on the structure of the Riemannian geometry induced in the input space by the kernel. A conformal transformation of a kernel from input space to higher-dimensional feature space enlarges volume elements locally near support vectors that are situated around the classification boundary and reduce the number of support vectors. This paper takes the Gaussian radial basis function as the internal kernel. Additionally, this paper combines the above method with the theories of standard regularization and non-dimensionalization to construct the new model. In the empirical analysis section, the paper adopts the financial data of Chinese listed companies. It uses five groups of experiments with different parameters to compare the classification accuracy. We can make the conclusion that the model of modified kernel function can effectively reduce the number of support vectors, and improve the classification accuracy.

scholarly journals Predicting Corporate Financial Sustainability Using Novel Business Analytics

2018 ◽  
Vol 11 (1) ◽  
pp. 64 ◽  
Author(s):  
Kyoung-jae Kim ◽  
Kichun Lee ◽  
Hyunchul Ahn
Keyword(s):  
Financial Distress ◽  
Prediction Accuracy ◽  
Prediction Models ◽  
Support Vector ◽  
Model Parameters ◽  
Financial Sustainability ◽  
Business Analytics ◽  
Financial Distress Prediction ◽  
Proposed Model ◽  
Distress Prediction

Measuring and managing the financial sustainability of the borrowers is crucial to financial institutions for their risk management. As a result, building an effective corporate financial distress prediction model has been an important research topic for a long time. Recently, researchers are exerting themselves to improve the accuracy of financial distress prediction models by applying various business analytics approaches including statistical and artificial intelligence methods. Among them, support vector machines (SVMs) are becoming popular. SVMs require only small training samples and have little possibility of overfitting if model parameters are properly tuned. Nonetheless, SVMs generally show high prediction accuracy since it can deal with complex nonlinear patterns. Despite of these advantages, SVMs are often criticized because their architectural factors are determined by heuristics, such as the parameters of a kernel function and the subsets of appropriate features and instances. In this study, we propose globally optimized SVMs, denoted by GOSVM, a novel hybrid SVM model designed to optimize feature selection, instance selection, and kernel parameters altogether. This study introduces genetic algorithm (GA) in order to simultaneously optimize multiple heterogeneous design factors of SVMs. Our study applies the proposed model to the real-world case for predicting financial distress. Experiments show that the proposed model significantly improves the prediction accuracy of conventional SVMs.

PREDICTING FINANCIAL DISTRESS OF CHINESE LISTED COMPANIES USING ROUGH SET THEORY AND SUPPORT VECTOR MACHINE

2011 ◽  
Vol 28 (01) ◽  
pp. 95-109 ◽  
Author(s):  
YU CAO ◽  
GUANGYU WAN ◽  
FUQIANG WANG
Keyword(s):  
Support Vector Machine ◽  
Set Theory ◽  
Rough Set ◽  
Financial Distress ◽  
Rough Set Theory ◽  
Listed Companies ◽  
Support Vector ◽  
Financial Distress Prediction ◽  
Distress Prediction ◽  
Chinese Listed Companies

Effectively predicting corporate financial distress is an important and challenging issue for companies. The research aims at predicting financial distress using the integrated model of rough set theory (RST) and support vector machine (SVM), in order to find a better early warning method and enhance the prediction accuracy. After several comparative experiments with the dataset of Chinese listed companies, rough set theory is proved to be an effective approach for reducing redundant information. Our results indicate that the SVM performs better than the BPNN when they are used for corporate financial distress prediction.

Dynamic financial distress prediction based on class-imbalanced data batches

2021 ◽  
pp. 2150026
Author(s):  
Jie Sun ◽  
Xin Liu ◽  
Wenguo Ai ◽  
Qianyuan Tian
Keyword(s):  
Financial Distress ◽  
Time Window ◽  
Concept Drift ◽  
Class Imbalance ◽  
Imbalanced Data ◽  
Sampling Technique ◽  
Support Vector ◽  
Multiple Discriminant Analysis ◽  
Financial Distress Prediction ◽  
Distress Prediction

This study proposes two approaches for dynamic financial distress prediction (FDP) based on class-imbalanced data batches by considering both concept drift and class imbalance. One is based on sliding time window and synthetic minority over-sampling technique (SMOTE) and the other is based on sliding time window and majority class partition. Support vector machine, multiple discriminant analysis (MDA) and logistic regression are used as base classifiers in the experiments on a real-world dataset. The results indicate that the two approaches perform better than the pure dynamic FDP (DFDP) models without class imbalance processing and the static FDP models either with or without class imbalance processing.

Support Vector Machine Ensemble Based on Choquet Integral for Financial Distress Prediction

2015 ◽  
Vol 29 (04) ◽  
pp. 1550016 ◽  
Author(s):  
Xihua Li ◽  
Fuqiang Wang ◽  
Xiaohong Chen
Keyword(s):  
Support Vector Machine ◽  
Financial Distress ◽  
Choquet Integral ◽  
Radical Change ◽  
Ensemble Method ◽  
Support Vector ◽  
Risk Minimization ◽  
Minimization Principle ◽  
Financial Distress Prediction ◽  
Distress Prediction

Due to the radical change in both Chinese and global economic environment, it is essential to develop a practical model to predict financial distress. The support vector machine (SVM), a new outstanding learning machine based on the statistical learning theory, embodying the principle of structural risk minimization instead of empirical risk minimization principle, is a promising method for such financial distress prediction. However, to some extent, the performance of single classifier depends on the sample's pattern characteristics and each single classifier has its own uncertainty. Using the ensemble methods to predict financial distress becomes a rising trend in this field. This research puts forward a SVM ensemble based on the Choquet integral for financial distress prediction in which Bagging algorithm is used to generate new training sets. The proposed ensemble method can be expressed as "Choquet + Bagging + SVMs". With real data from Chinese listed companies, an experiment is carried out to compare the performance of single classifiers with the proposed ensemble method. Empirical results indicate that the proposed ensemble of SVMs based on the Choquet integral for financial distress prediction has higher average accuracy and stability than single SVM classifiers.

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