COMPARING DIFFERENT FEATURE SELECTION METHODS IN FINANCIAL DISTRESS PREDICTION OF THE FIRMS LISTED IN TEHRAN STOCK EXCHANGE

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NAMAZI MOHAMMAD; KAZEMNEZHAD MOSTAFA; NEMATOLLAHI M.MAHDI

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2017 | Volume:7 | Issue:29 Page(s): 193-212

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Title

COMPARING DIFFERENT FEATURE SELECTION METHODS IN FINANCIAL DISTRESS PREDICTION OF THE FIRMS LISTED IN TEHRAN STOCK EXCHANGE

Author(s)

NAMAZI MOHAMMAD | KAZEMNEZHAD MOSTAFA | NEMATOLLAHI M.MAHDI | Issue Writer Certificate

Keywords

FINANCIAL DISTRESS PREDICTIONQ1

FEATURE SELECTIONQ1

PREDICTION PERFORMANCEQ2

BANKRUPTCYQ1

Abstract

Research in financial distress and BANKRUPTCY emphasize the design of more sophisticated classifiers, and less feature (variables) selection and their appropriate methods. In this regard, the purpose of this study is to compare performance of different FEATURE SELECTION methods in FINANCIAL DISTRESS PREDICTION of the companies listed on Tehran Stock Exchange (TSE). In this regard, we investigated and compared five FEATURE SELECTION methods, including t-test, stepwise regression, factor analysis, relief, wrapper subset selection and RFE-SVM FEATURE SELECTION. To obtain comparable experimental results (reliable comparison), three different classifiers (including neural networks, support vector machine and AdaBoost) were used in this study. In overall, the experimental results confirmed the usefulness of variable selection methods and significant difference among level (amount) of different methods performance. In other words, the application of the FEATURE SELECTION methods increases the mean of accuracy, and reduces the occurrence of type I and type II errors. Furthermore, the results indicated that wrapper subset selection method outperforms the other FEATURE SELECTION methods.

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APA: Copy

NAMAZI, MOHAMMAD, KAZEMNEZHAD, MOSTAFA, & NEMATOLLAHI, M.MAHDI. (2017). COMPARING DIFFERENT FEATURE SELECTION METHODS IN FINANCIAL DISTRESS PREDICTION OF THE FIRMS LISTED IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 7(29), 193-212. SID. https://sid.ir/paper/197690/en

Vancouver: Copy

NAMAZI MOHAMMAD, KAZEMNEZHAD MOSTAFA, NEMATOLLAHI M.MAHDI. COMPARING DIFFERENT FEATURE SELECTION METHODS IN FINANCIAL DISTRESS PREDICTION OF THE FIRMS LISTED IN TEHRAN STOCK EXCHANGE. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2017;7(29):193-212. Available from: https://sid.ir/paper/197690/en

IEEE: Copy

MOHAMMAD NAMAZI, MOSTAFA KAZEMNEZHAD, and M.MAHDI NEMATOLLAHI, “COMPARING DIFFERENT FEATURE SELECTION METHODS IN FINANCIAL DISTRESS PREDICTION OF THE FIRMS LISTED IN TEHRAN STOCK EXCHANGE,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 7, no. 29, pp. 193–212, 2017, [Online]. Available: https://sid.ir/paper/197690/en

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