An improved boosting based on feature selection for corporate bankruptcy prediction
Expert Systems with Applications: An International Journal
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Due to the economic significance of bankruptcy prediction of companies for financial institutions, investors and governments, many quantitative methods have been used to develop effective prediction models. Support vector machine SVM, a powerful classification method, has been used for this task; however, the performance of SVM is sensitive to model form, parameter setting and features selection. In this study, a new approach based on direct search and features ranking technology is proposed to optimise features selection and parameter setting for 1-norm and least-squares SVM models for bankruptcy prediction. This approach is also compared to the SVM models with parameter optimisation and features selection by the popular genetic algorithm technique. The experimental results on a data set with 2010 instances show that the proposed models are good alternatives for bankruptcy prediction.