The assisted prediction modelling frame with hybridisation and ensemble for business risk forecasting and an implementation

Abstract

The business failure of numerous companies results in financial crises. The high social costs associated with such crises have made people to search for effective tools for business risk prediction, among which, support vector machine is very effective. Several modelling means, including single-technique modelling, hybrid modelling, and ensemble modelling, have been suggested in forecasting business risk with support vector machine. However, existing literature seldom focuses on the general modelling frame for business risk prediction, and seldom investigates performance differences among different modelling means. We reviewed researches on forecasting business risk with support vector machine, proposed the general assisted prediction modelling frame with hybridisation and ensemble (APMF-WHAE), and finally, investigated the use of principal components analysis, support vector machine, random sampling, and group decision, under the general frame in forecasting business risk. Under the APMF-WHAE frame with support vector machine as the base predictive model, four specific predictive models were produced, namely, pure support vector machine, a hybrid support vector machine involved with principal components analysis, a support vector machine ensemble involved with random sampling and group decision, and an ensemble of hybrid support vector machine using group decision to integrate various hybrid support vector machines on variables produced from principle components analysis and samples from random sampling. The experimental results indicate that hybrid support vector machine and ensemble of hybrid support vector machines were able to produce dominating performance than pure support vector machine and support vector machine ensemble.

Keywords:

• forecasting models
• business risk prediction
• assisted prediction modelling frame
• hybridisation and ensemble

Acknowledgements

The authors gratefully thank Prof P.J. Fleming FREng., the associate editor, editors, and the three anonymous referees for their valuable comments and recommendations.

Additional information

Funding

This research is partially supported by the National Natural Science Foundation of China [grant number 71171179]; the Zhejiang Provincial National Science Foundation for Distinguished Young Scholars of China [grant number LR13G010001]; the Key Funding from Zhejiang Provincial Key Research Center of Humanity and Social Science – Decision Science and Creativity Management [grant number ZD03-2013ZB].

Notes on contributors

Hui Li

Hui Li received his BS, MS, PhD degrees all with honour from Harbin Institute of Technology (HIT), Harbin, Heilongjiang, China. The author's major field of study includes case-based reasoning and forecasting, and computing and intelligence for business. He is a professor at Zhejiang Normal University (ZJNU), Jinhua, China, and was a visiting scholar at the Ohio State University, Columbus, OH, USA. His researches were published or will appear on some premier, leading, reputable, and international journals, for example, Annals of Management Science, Applied Soft Computing, Computers & Operations Research, Economic Modelling, European Journal of Operational Research, Expert Systems, Expert Systems with Applications, IEEE Transactions on Systems, Man and Cybernetics: Systems, Information & Management, Information Sciences, Intelligent Systems in Accounting, Finance and Management, International Journal of Hospitality Management, Journal of the Operational Research Society, International Journal of Systems Science, Journal of Forecasting, Knowledge-Based Systems, Technological and Economic Development of Economy, and Tourism Management, among others. He is the principal investigator of a funding from the Zhejiang Provincial National Science Foundation for Distinguished Young Scholars of China, two fundings from National Natural Science Foundation of China, two fundings from Zhejiang Provincial Natural Science Foundation, one funding from Zhejiang Provincial Philosophy and Social Science Foundation, and one funding for QianJiang Talent in Zhejiang Province. Dr Li serves as an editorial board member of several international journals, international committee member of several international conferences, member of International Institute of Forecasters, Young Researcher of World Federation on Soft Computing, member of Association for Information Systems, and member of Professional Risk Managers’ International Association (PRMIA). He received the award of Outstanding Young Talents of Zhejiang Province, the ZhiJiang Young Talent of Social Science, the Science Research Award of Zhejiang Provincial High Education, the Outstanding Master Thesis Award of Heilongjiang Province, and the Outstanding PhD Thesis Award of HIT. He is listed on Marquis Who's Who in the World since 2010.

Lu-Yao Hong

Lu-Yao Hong received her BS degree from Zhejiang Normal University, Jinhua, Zhejiang, China. She is now a research assistant, and a master graduate in business administration with Zhejiang Normal University. The author's major field of study includes accounting, business forecasting, and computing and intelligence. Her research appeared or will appear in Economic Modelling and International Journal of Systems Science.

Qing Zhou

Qing Zhou is a professor of Hangzhou DianZi University, China. He attained his PhD degree of management from Hunan University, China. He was supported by the Program for New Century Excellent Talents in University of China in 2012. His main research interests include technological innovation management, corporate strategy, R&D network, and systems science. His researches were appeared in many important academic journals, various workshops, and conference proceedings.

Hai-Jie Yu

Hai-Jie Yu received her PhD degree from Harbin Institute of Technology (HIT), Harbin, Heilongjiang, China. Her major fields of study include ecological industry chain, low-carbon economy, and pricing decision and prediction. She is an assistant professor of University of Electronic Science and Technology of China, Chengdu, China, and a visiting scholar of the University of Texas at Arlington, Arlington, TX, USA. Her researches were published on some international journals, for example, Advanced Materials Research, Security and Communication Networks, Journal of Computational Information Systems, among others. She is the principal investigator of two fundings from Chinese Ministry of Education.