Diagnosing corporate stability using grammatical evolution

• Autorzy: Brabazon A. , O'Neill M.
• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

grammatical evolution; corporate failure prediction; mapping process

PL

ewolucja gramatyczna; prognozowanie awarii; mapowanie procesu

• Wydawca: Oficyna Wydawnicza Uniwersytetu Zielonogórskiego
• Czasopismo: International Journal of Applied Mathematics and Computer Science
• Rocznik: 2004
• Tom: Vol. 14, no 3
• Strony: 363--374
• Opis fizyczny: Bibliogr. 42 poz., rys., tab., wykr.

Twórcy

autor

Brabazon A.

• Department of Accountancy, University College Dublin, Belfield, Dublin 4, Ireland

autor

O'Neill M.

• Department of Computer Science and Information Systems, University of Limerick, Limerick, Ireland

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