Financial distress prediction using an improved particle swarm optimization wrapper feature selection method and tree boosting ensemble

Jiaming Liu and Zihang Wang

Journal of the Operational Research Society, 2025, vol. 76, issue 4, 617-640

Abstract: Financial distress prediction (FDP) is a complex task involving both feature selection and model construction. While many studies have addressed these challenges individually, there is a lack of FDP models that integrate feature selection into the overall model building process. To address the issues of fast convergence and local optimization in particle swarm optimization (PSO), this study proposes a modified PSO algorithm with three improvement strategies. This improved PSO, known as IPSO, is embedded within state-of-the-art tree boosting ensemble models for feature selection. IPSO continuously evolves toward the optimal feature subset, preventing premature convergence and avoiding local optima. To construct the FDP model, four state-of-the-art tree boosting models are combined using an improved majority voting ensemble strategy. The integration of IPSO enhances the prediction performance of the model. Comparative experiments are conducted on samples of Chinese listed companies under short-term and long-term prediction scenarios to evaluate the proposed model. The results demonstrate that IPSO significantly improves the prediction performance, and the ensemble strategy enhances the robustness of the predictions.

Date: 2025
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DOI: 10.1080/01605682.2024.2385467

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