A Financial Distress Prediction Model Based on Sparse Algorithm and Support Vector Machine

Sen Zeng, Yaqin Li, Wanjun Yang and Yanru Li

Mathematical Problems in Engineering, 2020, vol. 2020, 1-11

Abstract:

Classification learning is a very important issue in machine learning, which has been widely used in the field of financial distress warning. Some researches show that the prediction model framework based on sparse algorithm has better performance than the traditional model. In this paper, we explore the financial distress prediction based on grouping sparsity. Feature selection of sparse algorithm plays an important role in classification learning, because many redundant and irrelevant features will degrade performance. A good feature selection algorithm would reduce computational complexity and improve classification accuracy. In this study, we propose an algorithm for feature selection classification prediction based on feature attributes and data source grouping. The existing financial distress prediction model usually only uses the data from financial statement and ignores the timeliness of company sample in practice. Therefore, we propose a corporate financial distress prediction model that is better in line with the practice and combines the grouping sparse principal component analysis of financial data, corporate governance characteristics, and market transaction data with support vector machine. Experimental results show that this method can improve the prediction efficiency of financial distress with fewer characteristic variables.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:5625271

DOI: 10.1155/2020/5625271

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