Variable selection for financial distress classification using a genetic algorithm
Research output: Chapter in Book/Report/Conference proceeding › Conference contribution
This paper is concerned with the use of a genetic algorithm to select financial ratios for corporate distress classification models. For this purpose, the fitness value associated to a set of ratios is made to reflect the requirements of maximizing the amount of information available for the model and minimizing the collinearity between the model inputs. A case study involving 60 failed and continuing British firms in the period 1997-2000 is used for illustration. The classification model based on ratios selected by the genetic algorithm compares favorably with a model employing ratios usually found in the financial distress literature.
|Title of host publication||Congress on evolutionary computation: CEC '02|
|Number of pages||6|
|Publication status||Published - 2002|