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姓名陳以理(Yi-li Chen) 查詢紙本館藏 畢業系所資訊工程學系 論文名稱漸進式模型應用於財務危機預測問題

(Financial Crisis Prediction Problem Based on Time Series Model)相關論文檔案[Endnote RIS 格式] [Bibtex 格式] [相關文章] [文章引用] [完整記錄] [館藏目錄] [檢視] [下載]

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摘要(中)財務危機預測問題(Financial crisis prediction preblem)已被廣泛地討論，不論是分類器的選擇、特徵選取的方法，抑或是各種分類器的組合使用，都是全球金融圈及學術界討論的方向。

以往大部分的學者研究FCP時均使用靜態的N-Fold模型分析FCP問題，沒有考慮到FCP問題是有Time series的特性，在Data mining領域已對具有Time series特性的問題作討論，且近年來開始有學者使用Time series模型分析FCP問題。

此外以往在台灣地區的FCP研究多直接使用台灣經濟新報(TEJ)對危機公司的分類，但我們認為僅「有實際造成損失」之危機公司才是需要被預測出來的，其餘屬於「無實際造成損失」之危機公司可以用來作為Training set的一員，幫助找出「有實際造成損失」之危機公司，本身並不需加入Type I error的計算。

我們用實驗證明我們所提出的Modeling strategy對於N-Fold模型，以及漸進式模型都可以提升模型的準確率，並且發現在台灣資料集下使用我們所推薦的Modeling strategy並用漸進式模型建模時，傳統認為機器學習準確率顯著優於統計方法的觀點無法成立，我們也試圖找出該觀點無法成立的原因，發現不同Modeling strategy所占原因不高，漸進式模型才是主要原因。摘要(英)Financial crisis prediction problem (FCP problem) has been important and widely studied, many different classifiers, feature selection methods even the ensemble learning have been discussed.

In the past, most researcher use static model to solve FCP problem, which is N-Fold model, they did not consider that FCP problem has time series characteristics. As in the data mining domain, some scholars have been discussed the issue about time series problem must use time series model to solve. Recently, some researchers began to ues time series model on FCP problem.

On the other side, the FCP problem studied in Taiwan, the definition of crisis was using the TEJ database as a source, but we find that only the firms that cause actual losses should be consider as crisis firms, other kinds of crisis firms can only be used as training data for we to find the actual losses firm, when computing the Type I error this kinds of crisis firms don’t need to be counted, this is our proposed modeling strategy (PMS).

Finally, our experiment result shows that our PMS outperform the traditional modeling strategy, both in N-fold model and in Time series model. And for Taiwan dataset, using our PMS in Time series model the traditional wisdom, which is “machine learning approaches outperform the statistical methods”, does not hold. We are also trying to figure out why it doesn′t still hold, the experiment result show that the main reason is not the different modeling strategy, the main reason is Time series model.關鍵字(中)★ 統計方法

★ 機器學習方法

★ 財務危機預測

★ 漸進式模型

★ 危機公司定義關鍵字(英)★ statistic mothod

★ machine learning

★ financial crisis prediction

★ time series

★ multiperiod

★ definition of crisis論文目次中文摘要 i

Abstract ii

圖目錄 vi

表目錄 viii

一、緒論 1

1.1. 研究背景 1

1.2. 研究動機 2

1.3. 研究目的 7

1.4. 論文架構 7

二、文獻探討 8

2.1. 危機公司定義相關研究文獻探討 8

2.2. FCP問題相關研究文獻探討 9

2.3. Time series相關研究文獻探討 9

2.4. 統計方法介紹 11

2.4.1. Linear Regression(LR) 11

2.4.2. Logistic Regression(Logit) 12

2.4.3. Discriminant analysis(DA) 13

2.5. 機器學習方法介紹 14

2.5.1. 支持向量機(SVM) 14

2.5.2. 類神經網路(NN) 18

2.6. 特徵挑選方法 19

2.6.1. Stepwise Discriminant Analysis (SDA) 20

2.6.2. Stepwise Logistic Regression (SLR) 21

2.6.3. t-Test 22

三、系統架構 23

3.1. Traditional Modeling Strategy(TMS) 23

3.2. Proposed Modeling Strategy(PMS) 23

3.3. N-Fold模型 24

3.4. 漸進式模型 25

四、實驗設計 27

4.1. 資料來源 27

4.2. 資料前置處理方式 29

4.3. Misclassification cost、performance metrics和cost ratios 30

4.4. 實驗參數 31

4.5. 研究假說 33

4.6. 實驗架構 33

4.6.1. N-Fold模型使用PMS及TMS實驗設計 33

4.6.2. 漸進式模型使用PMS及TMS實驗設計 35

五、實驗流程與結果分析-1 36

5.1. 針對Modeling Strategy進行討論 36

5.2. 實驗流程 37

5.3. 實驗結果與分析 38

六、實驗流程與結果分析-2 46

6.1. 針對漸進式模型討論 46

6.2. 實驗流程 46

6.3. 實驗結果與結果分析 47

七、實驗流程與結果分析-3 52

7.1. 針對實驗結果與傳統觀點不符討論 52

7.2. 實驗流程 52

7.3. 實驗結果與分析 53

八、結論與未來展望 57

8.1. 結論 57

8.2. 未來展望 58

參考文獻 59

附錄一-財務比率表 63

附錄二-公司配對表 64

附錄三-其他實驗結果呈現 71

漸進式模型不同特徵挑選之同分類器比較 71

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[57] E. Kahya and P. Theodossiou, "Predicting Corporate Financial Distress A Time-Series CUSUM Methodology," Review of Quantitative Finance and Accounting, 13, pp. 323-345, 1999.指導教授梁德容(Deron Liang) 審核日期2016-1-8 推文facebook plurk twitter funp google live udn HD myshare reddit netvibes friend youpush delicious baidu 網路書籤Google bookmarks del.icio.us hemidemi myshare