Predicting financial activity with evolutionary fuzzy case-based reasoning

被引:61
作者
Li, Sheng-Tun [1 ]
Ho, Hei-Fong [1 ]
机构
[1] Natl Cheng Kung Univ, Inst Informat Management, Tainan 70101, Taiwan
关键词
Case-based reasoning; Genetic algorithms; Fuzzy similarity; Fuzzy nearest neighbor algorithm; Financial activity prediction; SUPPORT VECTOR MACHINES; ARTIFICIAL NEURAL-NETWORKS; GENETIC ALGORITHMS APPROACH; BANKRUPTCY PREDICTION; DISCRIMINANT-ANALYSIS; EXPERT-SYSTEMS; KNOWLEDGE ACQUISITION; PERFORMANCE; RETRIEVAL; FAILURE;
D O I
10.1016/j.eswa.2007.09.049
中图分类号
TP18 [人工智能理论];
学科分类号
081104 ; 0812 ; 0835 ; 1405 ;
摘要
Predicting financial activity through examining the short-term liquidity is crucial within today's turbulent financial environment. Firms, governments, and individuals all need an effective methodology based on liquidity information that plays performance deterioration warning a priori bankruptcy prediction. In this paper, we propose a hybrid decision model using case-based reasoning augmented with genetic algorithms (GAs) and the fuzzy k nearest neighbor (fuzzy k-NN) methods for predicting the financial activity rate. GAs are used to determine the optimal or near-optimal weight vector of financial features expressed in linguistic values by the expert. A fuzzy k-NN-based CBR scheme is designed to compute memberships of financial activity rates and to provide a more flexible and practical mechanism for acquiring, creating, and reusing the expert's decision knowledge. An empirical experimentation using 746 publicly traded Taiwanese firms shows that the average accuracy of the rating is about 92.36%, which is superior to other related models. The proposed approach not only can lend support to the decision of an expert, but also allow proper feedback for the expert to improve the quality of the decision. (C) 2007 Elsevier Ltd. All rights reserved.
引用
收藏
页码:411 / 422
页数:12
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