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Research Article

An optimal weighted machine learning model for detecting financial fraud

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ABSTRACT

The purpose of this study is to predict enterprises’ financial fraud. After collecting financial data and employing feature selection methods, totally eight features are selected. We select two best-performance machine learning models according to five indicators including accuracy, recall, specificity, AUC and the misclassification cost. Besides, an optimal weighted machine learning model, based on the two best-performance models, is proposed and the results confirm its good performance in forecasting enterprises’ financial fraud.

JEL CLASSIFICATION:

Disclosure statement

No potential conflict of interest was reported by the author(s).

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