تعداد نشریات | 25 |
تعداد شمارهها | 916 |
تعداد مقالات | 7,522 |
تعداد مشاهده مقاله | 12,232,825 |
تعداد دریافت فایل اصل مقاله | 8,651,979 |
مقایسه کارایی مدلهای یادگیری ماشین و مدل های آماری در پیش بینی ریسک مالی | ||
راهبرد مدیریت مالی | ||
مقاله 3، دوره 11، شماره 1 - شماره پیاپی 40، فروردین 1402، صفحه 53-76 اصل مقاله (524.45 K) | ||
نوع مقاله: مقاله پژوهشی | ||
شناسه دیجیتال (DOI): 10.22051/jfm.2023.35240.2512 | ||
نویسندگان | ||
سامان توکلی1؛ علی آشتاب* 2 | ||
1گروه حسابداری، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران | ||
2استادیار گروه حسابداری، دانشکده اقتصاد و مدیریت، دانشگاه ارومیه، ارومیه، ایران | ||
چکیده | ||
هدف این پژوهش، مقایسه کارایی مدلهای یادگیری ماشین (32 مدل) و مدلهای آماری (14 مدل)، در پیشبینی ریسک مالی 145 شرکت پذیرفته شده در بورس اوراق بهادار تهران طی بازه زمانی 1389 تا 1398 و انتخاب بهترین مدل با استفاده از تکنیکهای بهینهسازی پیشرفته میباشد. یافتههای پژوهش با استفاده از آزمون مقایسه دقت ضرایب پیشبینی، بیانگر آن است که با اطمینان 99 درصد، دقت پیشبینی مدلهای یادگیری ماشین، بیشتر از مدلهای آماری است. همچنین بهترین مدل یادگیری ماشین پس از بهینهسازی، مدل ماشین بردار پشتیبان تکاملی با دقت پیشبینی 99.86درصد و مقدار سطح زیر منحنی برابر0.998بوده است. علاوه بر این، نسبتهای مالی تعهدی با دقت پیشبینی99.45درصد و نسبتهای مالی فعالیت با دقت پیشبینی 98.62درصد توانستند در مقایسه با سایر نسبتهای مالی در استفاده از ماشین بردار پشتیبان تکاملی به منظور پیشبینی ریسک مالی عملکرد بهتری داشته باشند. از سوی دیگر ریسک مالی پیشبینی شده بر اساس صنایع مختلف، متفاوت بوده است. بنابراین مشخص شد که مدلهای یادگیری ماشین به دلیل عدم برخورداری از محدودیتهایی که مدلهای آماری با آن مواجهه هستند میتوانند به عنوان ابزاری مهم، در پیشبینی ریسک مالی شرکتها به کار روند. | ||
کلیدواژهها | ||
پیشبینی؛ ریسک مالی؛ ماشین بردار پشتیبان تکاملی؛ یادگیری ماشین | ||
عنوان مقاله [English] | ||
Comparison of the Effectiveness of Machine Learning Models and Statistical Models in Predicting Financial Risk | ||
نویسندگان [English] | ||
Saman Tavakoli1؛ Ali Ashtab2 | ||
1Department of Accounting, Faculty of Economics and Management, Urmia University, Urmia, Iran | ||
2Assistant Professor, Department of Accounting, Faculty of Economics and Management, Urmia University, Urmia, Iran | ||
چکیده [English] | ||
The purpose of this study was to compare the efficiency of machine learning models (32 models) and statistical models (14 models) in predicting the financial risk of listed 145 companies in Tehran Stock Exchange during the period 2010 to 2020 and selecting the best model using advanced optimization techniques. Findings of the research using the test of comparing the accuracy of prediction coefficients, indicates that with 99 percent confidence, the prediction accuracy of machine learning models is higher than statistical models. Also, the best machine learning model after optimization was the evolutionary support vector machine model with 99.86 percent prediction accuracy and the value of the area under the curve was 0.998. In addition, accrual financial ratios with 99.45 percent predictive accuracy and operating financial ratios with 98.62 percent predictive accuracy were able to perform better than other financial ratios in using the evolutionary support vector to predict financial risk. on the other side, the projected financial risk varied according to different industries. Therefore, it was found that machine learning models can be used as an important tool in predicting corporate financial risk due to the lack of limitations that statistical models face. | ||
کلیدواژهها [English] | ||
Financial Risk, Machine Learning, Prediction, Support Vector Machine Evolutionary | ||
سایر فایل های مرتبط با مقاله
|
||
مراجع | ||
Aflatooni, A. (2013). Statistical analysis with EViews in accounting and financial management research: Termeh Publications. (In Persian)
Ashtab, A., Ahmadi, A. (2020). »Relationship between Readability of Financial Reports and Stock liquidity«. Journal of Financial Accounting Knowledge, 7(3), 167-194. (In Persian)
Ashtab, A., Haghighat, H., Kordestani, Gh. R. (2017). » Developing of financial distress prediction models and its effect on earnings management tools. « Doctoral dissertation, Imam Khomeini International University. (In Persian)
Boiko, M. O. (2019). »Problematic Aspects of financial risk assessment methodology in stevedoring companies«. World Science, 1(12 (52)), 32-38.
Dey, R. K., Hossain, S. Z., Rezaee, Z. (2018). »Financial risk disclosure and financial attributes among publicly traded manufacturing companies: Evidence from Bangladesh«. Journal of Risk and Financial Management, 11(3), 50.
Do, T., Nguyen, T., Phan, T., Dang, T. (2020). »Identifying factors influencing on financial risk of construction firms: Evidence from Vietnam stock market«. Management Science Letters, 10(11), 2411-2418.
Eizadinia, N., Alinaghian, N. (2010). »Investigating the Relationship between Profit Error Prediction and Financial and Business Risk in Companies Listed in Tehran Stock Exchange«. Accounting and Auditing Research, 2(7), 72-85. (In Persian)
Gotoh, J. Y., Takeda, A., Yamamoto, R. (2014). »Interaction between financial risk measures and machine learning methods«. Computational Management Science, 11(4), 365-402.
Hashemi, S., Hosseini, S., Barandan, S. (2012). »The Comparison of Incremental Information Content of Cash and Accrual Ratios for Financial performance Evaluation of Companies Using Data mining«. Journal of Financial Accounting Research, 4(2), 63-82. (In Persian)
Jin, M., Wang, Y., Zeng, Y. (2018). »Application of data mining technology in financial risk analysis«. Wireless Personal Communications, 102(4), 3699-3713.
Jorge, M. J., Augusto, M. G. (2016). »Is hedging successful at reducing financial risk exposure? «. Applied Economics, 48(39), 3695-3713.
Kang, Q. (2019). »Financial risk assessment model based on big data«. International Journal of Modeling, Simulation, and Scientific Computing, 10(04), 1950021.
Kardan, B., Salehi, M., Kalateh, H. (2016). »Relationship between auditor comments, discretionary accruals and financial risk«. The Financial Accounting and Auditing Researches, 8 (31), 111-125. (In Persian)
Khodaparast Salekmoalemy, A., Rezaei, F., Kheradyar, S., Vatanparast, M. (2020). »The Empirical Test of Comparing the Cost of Equity Capital Efficiency under Information Ambiguity and Value Relevance of Earning«. Accounting and Auditing Review, 26(4), 499-516. (In Persian)
Lahmiri, S. (2016). »Features selection, data mining and finacial risk classification: a comparative study«. Intelligent Systems in Accounting, Finance and Management, 23(4), pp. 265-275.
Mosalla, M., Moghadam, F. (2020). »Investigating the effect of financial leverage on risk and stock returns of companies listed on the Tehran Stock Exchange«. Journal of New Research Approaches in Management and Accounting, 4 (29), 32-42. (In Persian)
Nazari, A., Haji, G. A., Nobakht, J. (2019). »Investigating the Impact of Financial Crisis on Banks' Financial Risk in Iran during 2001-2017«. Journal of Applied Economics, 8 (27), 27-34. (In Persian)
Oláh, J., Kovács, S., Virglerova, Z., Lakner, Z., Kovacova, M., Popp, J. (2019). »Analysis and comparison of economic and financial risk sources in SMEs of the visegrad group and Serbia«. Sustainability, 11(7), 1853.
Ostadi, B., Tadrisi Pajou, P. (2019). »Presenting a model for measurement of the relationship between financial risks and financial ratios«. Empirical Studies in Financial Accounting, 16(63), 109-127. (In Persian)
Saniei Abadeh, M., Mahmoodi, S., Taherparvar, M. (2014). Applied Data Mining, Tehran, Niaz Danesh Publications, Second Edition. (In Persian).
Sun, J. (2012). »Integration of random sample selection, support vector machines and ensembles for financial risk forecasting with an empirical analysis on the necessity of feature selection«. Intelligent Systems in Accounting, Finance and Management, 19(4), 229-246.
Sun, J., Li, H., Adeli, H. (2013). »Concept Drift-Oriented Adaptive and Dynamic Support Vector Machine Ensemble With Time Window in Corporate Financial Risk Prediction«. IEEE Transactions on Systems, Man, and Cybernetics, Systems, 43(4), 801-813.
Svabova, L., Kral, P. (2016). »Selection of predictors in bankruptcy prediction models for Slovak companies«. Proceedings of the 10th international days of statistics and economics. Praha: Melandrium.
Valaskova, K., Kliestik, T., Svabova, L., Adamko, P. (2018). »Financial risk measurement and prediction modelling for sustainable development of business entities using regression analysis«. Sustainability, 10(7), 2144.
Zamani Zadeh, A., Sheri Anaghiz, S., Marfoe, M. (2019). »The effect of comparability of financial statements on the efficiency and financial risk of companies«. Master Thesis in Accounting, Allameh Tabatabai University. (In Persian)
Zhang, Y., Ji, K., An, Y. (2020). »Identification of Enterprise Financial Risk Transfer Path Based on Data Mining«. International Conference on Artificial Intelligence and Big Data (ICAIBD), Chengdu, China, pp. 101-105. | ||
آمار تعداد مشاهده مقاله: 1,138 تعداد دریافت فایل اصل مقاله: 529 |