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Diagnosing corporate stability using grammatical evolution

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Brabazon A., O'Neill M.

International Journal of Applied Mathematics and Computer Science

2004

tom 14

nr 3

363-374

Grammatical Evolution (GE) is a novel data-driven, model-induction tool, inspired by the biological gene-to-protein mapping process. This study provides an introduction to GE, and demonstrates the methodology by applying it to construct a series of models for the prediction of bankruptcy, employing information drawn from financial statements. Unlike prior studies in this domain, the raw financial information is not preprocessed into pre-determined financial ratios. Instead, the ratios to be incorporated into the classification rule are evolved from the raw financial data. This allows the creation and subsequent evolution of alternative ratio-based representations of the financial data. A sample of 178 publicly quoted, US firms, drawn from the period 1991 to 2000 are used to train and test the model. The best evolved model correctly classified 86 (77)% of the firms in the in-sample training set (out-of-sample validation set), one year prior to failure.

Ograniczanie wyników

1 International Journal of Applied Mathematics and Computer Science

1 Brabazon A.

1 O'Neill M.

1 2004

Wyniki wyszukiwania

Diagnosing corporate stability using grammatical evolution