Dynamic financial distress prediction based on class-imbalanced data batches

被引:3
|
作者
Sun, Jie [1 ]
Liu, Xin [2 ]
Ai, Wenguo [3 ]
Tian, Qianyuan [4 ]
机构
[1] Tianjin Univ Finance & Econ, Business Sch, Tianjin 300222, Peoples R China
[2] Zhejiang Normal Univ, Sch Econ & Management, Jinhua 321004, Zhejiang, Peoples R China
[3] Harbin Inst Technol, Sch Management, Harbin 150001, Heilongjiang, Peoples R China
[4] China Geol Survey, Inst Explorat Tech, Finance Off, Tianjin 300300, Peoples R China
基金
中国国家自然科学基金;
关键词
Dynamic financial distress prediction; concept drift; class imbalance; synthetic minority over-sampling technique; majority class partition; SUPPORT VECTOR MACHINES; BANKRUPTCY PREDICTION; DISCRIMINANT-ANALYSIS; BUSINESS FAILURE; GENETIC ALGORITHM; NEURAL-NETWORKS; ENSEMBLE; MODELS; RATIOS; SMOTE;
D O I
10.1142/S2424786321500262
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This study proposes two approaches for dynamic financial distress prediction (FDP) based on class-imbalanced data batches by considering both concept drift and class imbalance. One is based on sliding time window and synthetic minority over-sampling technique (SMOTE) and the other is based on sliding time window and majority class partition. Support vector machine, multiple discriminant analysis (MDA) and logistic regression are used as base classifiers in the experiments on a real-world dataset. The results indicate that the two approaches perform better than the pure dynamic FDP (DFDP) models without class imbalance processing and the static FDP models either with or without class imbalance processing.
引用
收藏
页数:35
相关论文
共 50 条
  • [1] Class-imbalanced dynamic financial distress prediction based on random forest from the perspective of concept drift
    Sun, Jie
    Zhao, Mengru
    Lei, Cong
    [J]. RISK MANAGEMENT-AN INTERNATIONAL JOURNAL, 2024, 26 (04):
  • [2] Dynamic class-imbalanced financial distress prediction based on case-based reasoning integrated with time weighting and resampling
    Sun, Jie
    Sun, Mingyang
    Zhao, Mengru
    Du, Yingying
    [J]. JOURNAL OF CREDIT RISK, 2023, 19 (01): : 39 - 73
  • [3] Class-imbalanced dynamic financial distress prediction based on Adaboost-SVM ensemble combined with SMOTE and time weighting
    Sun, Jie
    Li, Hui
    Fujita, Hamido
    Fu, Binbin
    Ai, Wenguo
    [J]. INFORMATION FUSION, 2020, 54 : 128 - 144
  • [4] Class prediction for high-dimensional class-imbalanced data
    Blagus, Rok
    Lusa, Lara
    [J]. BMC BIOINFORMATICS, 2010, 11 : 523
  • [5] Class prediction for high-dimensional class-imbalanced data
    Rok Blagus
    Lara Lusa
    [J]. BMC Bioinformatics, 11
  • [6] Prediction of DTIs for high-dimensional and class-imbalanced data based on CGAN
    Yang, Kang
    Zhang, Zhongnan
    He, Song
    Bo, Xiaochen
    [J]. PROCEEDINGS 2018 IEEE INTERNATIONAL CONFERENCE ON BIOINFORMATICS AND BIOMEDICINE (BIBM), 2018, : 788 - 791
  • [7] Class-imbalanced financial distress prediction with machine learning: Incorporating financial, management, textual, and social responsibility features into index system
    Song, Yinghua
    Jiang, Minzhe
    Li, Shixuan
    Zhao, Shengzhe
    [J]. JOURNAL OF FORECASTING, 2024, 43 (03) : 593 - 614
  • [8] Clustering-based undersampling in class-imbalanced data
    Lin, Wei-Chao
    Tsai, Chih-Fong
    Hu, Ya-Han
    Jhang, Jing-Shang
    [J]. INFORMATION SCIENCES, 2017, 409 : 17 - 26
  • [9] Dynamic prediction of relative financial distress based on imbalanced data stream: from the view of one industry
    Sun, Jie
    Zhou, Mengjie
    Ai, Wenguo
    Li, Hui
    [J]. RISK MANAGEMENT-AN INTERNATIONAL JOURNAL, 2019, 21 (04): : 215 - 242
  • [10] Dynamic prediction of relative financial distress based on imbalanced data stream: from the view of one industry
    Jie Sun
    Mengjie Zhou
    Wenguo Ai
    Hui Li
    [J]. Risk Management, 2019, 21 : 215 - 242