A rule-based model for bankruptcy prediction based on an improved genetic ant colony algorithm

Yudong Zhang*, Shuihua Wang, Genlin Ji

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

48 Citations (Scopus)

Abstract

In this paper, we proposed a hybrid system to predict corporate bankruptcy. The whole procedure consists of the following four stages: first, sequential forward selection was used to extract the most important features; second, a rule-based model was chosen to fit the given dataset since it can present physical meaning; third, a genetic ant colony algorithm (GACA) was introduced; the fitness scaling strategy and the chaotic operator were incorporated with GACA, forming a new algorithm - fitness-scaling chaotic GACA (FSCGACA), which was used to seek the optimal parameters of the rule-based model; and finally, the stratified K-fold cross-validation technique was used to enhance the generalization of the model. Simulation experiments of 1000 corporations' data collected from 2006 to 2009 demonstrated that the proposed model was effective. It selected the 5 most important factors as "net income to stock broker's equality," "quick ratio," "retained earnings to total assets," "stockholders' equity to total assets," and "financial expenses to sales." The total misclassification error of the proposed FSCGACA was only 7.9%, exceeding the results of genetic algorithm (GA), ant colony algorithm (ACA), and GACA. The average computation time of the model is 2.02 s.

Original languageEnglish
Article number753251
JournalMathematical Problems in Engineering
Volume2013
DOIs
Publication statusPublished - 2013
Externally publishedYes

Fingerprint

Dive into the research topics of 'A rule-based model for bankruptcy prediction based on an improved genetic ant colony algorithm'. Together they form a unique fingerprint.

Cite this