Diagnosing corporate stability using grammatical evolution

Brabazon, A. ; O'Neill, M.

International Journal of Applied Mathematics and Computer Science, Tome 14 (2004) no. 3, pp. 363-374.

Résumé

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)

Détail

Keywords: grammatical evolution, corporate failure prediction, mapping process
Mots-clés : ewolucja gramatyczna, prognozowanie awarii, mapowanie procesu

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