ماشین بردار پشتیبانی فازی برای پیش بینی ورشکستگی
|کد مقاله||سال انتشار||تعداد صفحات مقاله انگلیسی||ترجمه فارسی|
|48298||2011||15 صفحه PDF||سفارش دهید|
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Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Applied Soft Computing, Volume 11, Issue 2, March 2011, Pages 2472–2486
Bankruptcy prediction has been a topic of active research for business and corporate organizations since past few decades. The problem has been tackled using various models viz., Statistical, Market Based and Computational Intelligence in the past. Among Computational Intelligence models, Artificial Neural Network has become dominant modeling paradigm. In this Paper, we use a novel Soft Computing tool viz., Fuzzy Support Vector Machine (FSVM) to solve bankruptcy prediction problem. Support Vector Machine is a powerful statistical classification technique based on the idea of Structural Risk Minimization. Fuzzy Sets are capable of handling uncertainty and impreciseness in corporate data. Thus, using the advantage of Machine Learning and Fuzzy Sets prediction accuracy of whole model is enhanced. FSVM is implemented for analyzing predictors as financial ratios. A method of adapting it to default probability estimation is proposed. The test dataset comprises of 50 largest bankrupt organizations with capitalization of no less than $1 billion that filed for protection against creditors under Chapter 11 of United States Bankruptcy Code in 2001–2002 after stock marked crash of 2000. Experimental results on FSVM illustrate that it is better capable of extracting useful information from corporate data. This is followed by a comparative study of FSVM with other approaches. FSVM is effective in finding optimal feature subset and parameters. This is evident from the results thus improving prediction of bankruptcy. The choice of feature subset has positive influence on appropriate kernel parameters and vice versa which demonstrate its appreciable generalization performance than traditional bankruptcy prediction methods. Choosing appropriate value of parameter plays an important role on the performance of FSVM model. The effect of variability in prediction performance of FSVM with respect to various values of different parameters of SVM is also investigated. Finally, a comparative study of clustering power of FSVM is made with PNN on ripley and bankruptcy datasets. The results show that FSVM has superior clustering power than PNN.