Financial health prediction models using artificial neural networks, genetic algorithm and multivariate discriminant analysis: Iranian evidence

Expert Systems with Applications

Volumn 38, Issue 8, 2011, Pages 10210-10217

  Mokhatab Rafiei, F ^a   Manzari, S M ^b   Bostanian, S ^b  

^a ISFAHAN UNIVERSITY OF TECHNOLOGY   (Iran)

^b TARBIAT MODARES UNIVERSITY   (Iran)

Author keywords

Artificial neural networks; Discriminant analysis; Financial health prediction; Financial ratios; Genetic algorithm; Iranian company

Indexed keywords

ACCURACY RATE; ARTIFICIAL NEURAL NETWORK; DISCRIMINATE ANALYSIS; FINANCIAL HEALTH; FINANCIAL RATIOS; IRANIAN COMPANIES; MANUFACTURING COMPANIES; MULTIPLE DISCRIMINANT ANALYSIS; MULTIVARIATE DISCRIMINANT ANALYSIS; PREDICTION MODEL; TEHRAN STOCK EXCHANGES; THREE MODELS;

DISCRIMINANT ANALYSIS; FINANCE; FORECASTING; GENETIC ALGORITHMS; HEALTH; MATHEMATICAL MODELS; MULTIVARIANT ANALYSIS; RELIABILITY ANALYSIS;

NEURAL NETWORKS;

EID: 79953675053     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2011.02.082     Document Type: Article

References (33)

1. E. Altman Corporate financial distress - A complete guide to predicting, avoiding and dealing with bankruptcy 1983 Wiley New York
2. E.I. Altman Financial ratios, discriminant analysis and the prediction of corporate bankruptcy The Journal of Finance 23 4 1968 589 609
3. R. Barniv, A. Agarwal, and R. Leach Predicting the outcome following bankruptcy filing: A three-state classification using neural networks Intelligent Systems in Accounting, Finance and Management 6 1997 177 194
4. W.H. Beaver Financial ratios as predictors of failure Journal of Accounting Research, Empirical Research in Accounting: Selected Studies: Supplement 4 1966 71 111
5. T. Bell Neural nets or the logit model? A comparison of each model's ability to predict commercial bank failures Intelligent Systems in Accounting, Finance and Management 6 1997 249 264
6. Bostanian, S. (2008). A genetic model for bankruptcy prediction. MS thesis, Tarbiat Modares University, Iran.
7. L. Davis Handbook of genetic algorithms 1991 Van Nostrand Reinhold New York
8. E.B. Deakin A discriminant analysis of predictors of business failure Journal of Accounting Research 10 1 1972 167 179
9. H. Etemadi, A.A. Anvary Rostamy, and H. Farajzadeh Dehkordi A genetic programming model for bankruptcy prediction: Empirical evidence from Iran Expert Systems with Applications 36 2 Part 2 2009 3199 3207
10. D.E. Goldberg Genetic algorithms in search, optimization and machine learning 1989 Addison-Wesley Reading, MA
11. I. Han, H. Jo, and K.S. Shin The hybrid systems for credit rating Journal of the Korean Operations Research and Management Science Society 22 3 1997 163 173
12. J.W. Han, and M. Kamber Data mining: Concepts and techniques 2001 Morgan Kaufmann San Francisco
13. J.H. Holland Adaptation in natural and artificial systems 1975 The University of Michigan Press Ann Arbor
14. J.H. Min, and C. Jeong A binary classification method for bankruptcy prediction Expert Systems with Applications: An International Journal 36 3 2009 5256 5263
15. R. Johnson, and W.D. Wichern Applied multivariate statistical analysis 5th ed. 2002 Prentice Hall
16. I.T. Jolliffe Principal component analysis 2nd ed. Series: Springer series in statistics 2002 Springer NY
17. M.J. Kim, and I. Han The discovery of experts' decision rules from qualitative bankruptcy data using genetic algorithms Expert Systems with Applications 25 4 2003 637 646
18. J.M. Nazzal, I.M. El-Emary, and S.A. Najim Multilayer perceptron neural network (MLPs) For analyzing the properties of Jordan oil shale World Applied Sciences Journal 5 5 2008 546 552
19. Nguyen, H. H.; & Chan, C. W. (2004). A comparison of data preprocessing strategies for neural network modeling of oil production prediction. In Third IEEE international conference on Cognitive informatics (ICCI'04) (pp. 199-207). (Pubitemid 40266911)
20. Odom, M.; & Sharda, R. (1990). A neural networks model for bankruptcy prediction. In Proceedings of the IEEE international conference on neural network (Vol. 2, pp. 163-168).
21. P. Peterson Financial ratio analysis 1999 Faculty of Finance, Florida Atlantic University
22. M. Rasoolzadeh Application of Altman's model for bankruptcy prediction of textile listed companies Tadbeer 12 120 2001 105 107
23. L. Salchenberger, E. Cinar, and N. Lash Neural networks: A new tool for predicting thrift failures Decision Sciences 23 1992 899 916
24. Shin, K.; Shin, T.; Han, I. (1998). Neuro-genetic approach for bankruptcy prediction: a comparison to back-propagation algorithms. In Proceedings of the International Conference of the Korea Society of Management Information Systems (pp. 585-597). Seoul, South Korea.
25. K.S. Shin, and Y.-J. Lee A genetic algorithm application in bankruptcy prediction modeling Expert Systems with Applications 2 3 2002 321 328 (Pubitemid 35000263)
26. V. Singh, I. Gupta, and H.O. Gupta ANN-based estimator for distillation using Levenberg-Marquardt approach Engineering Applications of Artificial Intelligence 20 2007 249 259 (Pubitemid 44821781)
27. Sohrabi Eraghi M. (2008). A model for prediction financial health of Iranian companies. PhD thesis, Allameh Tabatabaei University, Department of Accounting.
28. K. Tam, and M. Kiang Managerial applications of neural networks: The case of bank failure predictions Management Science 38 7 1992 926 947
29. F. Varetto Genetic algorithm applications in the analysis of insolvency risk Journal of Banking and Finance 22 1998 1421 1439 (Pubitemid 128344759)
30. Wang, K.; Yang, J.; Shi, G.; & Wang, Q. (2008). An expanded training set based validation method to avoid over fitting for neural network classifier. In Fourth international conference on natural computation (Vol. 3, pp. 83-87).
31. G. Zhang, Y.M. Hu, E.B. Patuwo, and C.D. Indro Artificial neural networks in bankruptcy prediction: General framework and cross validation analysis European Journal of Operational Research 116 1999 16 32
32. G.P. Zhang Neural networks for classification: A survey IEEE Transactions on Systems, Man, and Cybernetics - Part C: Applications and Reviews 30 4 2000
33. Zhang, J. (2009). Interweave neural networks with evolutionary algorithms, cellular computing, Bayesian learning and ensemble learning. In International conference on business intelligence and financial engineering, Beijing, China. ISBN: 978-0-7695-3705-4.