The assisted prediction modelling frame with hybridisation and ensemble for business risk forecasting and an implementation

Hui Li, Lu-Yao Hong, Qing Zhou and Hai-Jie Yu

International Journal of Systems Science, 2015, vol. 46, issue 11, 2072-2086

Abstract: The business failure of numerous companies results in financial crises. The high social costs associated with such crises have made people to search for effective tools for business risk prediction, among which, support vector machine is very effective. Several modelling means, including single-technique modelling, hybrid modelling, and ensemble modelling, have been suggested in forecasting business risk with support vector machine. However, existing literature seldom focuses on the general modelling frame for business risk prediction, and seldom investigates performance differences among different modelling means. We reviewed researches on forecasting business risk with support vector machine, proposed the general assisted prediction modelling frame with hybridisation and ensemble (APMF-WHAE), and finally, investigated the use of principal components analysis, support vector machine, random sampling, and group decision, under the general frame in forecasting business risk. Under the APMF-WHAE frame with support vector machine as the base predictive model, four specific predictive models were produced, namely, pure support vector machine, a hybrid support vector machine involved with principal components analysis, a support vector machine ensemble involved with random sampling and group decision, and an ensemble of hybrid support vector machine using group decision to integrate various hybrid support vector machines on variables produced from principle components analysis and samples from random sampling. The experimental results indicate that hybrid support vector machine and ensemble of hybrid support vector machines were able to produce dominating performance than pure support vector machine and support vector machine ensemble.

Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1080/00207721.2013.849771

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