COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL
Yıl: 2021 Cilt: 14 Sayı: 1 Sayfa Aralığı: 56 - 86 Metin Dili: İngilizce DOI: 10.17218/hititsbd.880658 İndeks Tarihi: 29-07-2022
COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL
Öz: This study aimed to predict the 1 to 2 year future time of the financial failure of 86 manufacturing companies that are operating in Borsa İstanbul. The data comprised of 2010-2012 period, and it depends on 8 quantitative financial variables. Beside 6 variables come from non financial statements. In the study, Artificial Neural Network (NN), Classification and Regression Trees (CART), Support Vector Machine (SVM) and k-Nearest Neighbors (KNN) were used to compare classification performances of related methods. ROC Curve was used to compare the classification performance of the methods. As a result of the analyseis, the overall classification accuracy from the highest to the lowest was SVM (92,31%), CART (88,46%), ANN (84,62%) and KNN (80,77%) 2 years before the financial failure. The overall classification accuracy from the highest to the lowest was CART (96,15%), ANN (92,31%), SVM (80,77%) and KNN (84,62%) 1 year before the financial failure. Return on Equity (ROE) and Return on Assets Ratio (ROA) were found as important variables in the creation of the CART decision tree. The fact that the four models obtained in thise study predicted financial success/failure at a higher rate, and it shows that the models obtained in this study can be included in the models used by relevant people.
Anahtar Kelime: FİNANSAL BAŞARISIZLIK TAHMİNİNDE MAKİNE ÖĞRENMESİ YÖNTEMLERİNİN SINIFLANDIRMA PERFORMANSININ KARŞILAŞTIRILMASI: BORSA İSTANBUL ÖRNEĞİ
Öz: Bu çalışmada Borsa İstanbul İmalat Sanayi Sektörüne kayıtlı 86 firmanın, 2010-2012 dönemine ait verileri kullanılarak 1 ve 2 yıl öncesinden finansal başarısızlık tahmini yapılmıştır. Araştırmada 8 mali tablolara dayalı nicel ve 6 mali tablolara dayalı olmayan değişken kullanılmıştır. Çalışma amacına yönelik analizlerde Yapay Sinir Ağları (ANN), Sınıflandırma ve Regresyon Ağaçları (CART), Destek Vektör Makineleri (SVM) ve K-En Yakın Komşular Algoritması (KNN) yöntemlerinin tahmin performansları yöntemlerin ayırt edici özellikleri altında karşılaştırılmıştır. ROC Eğrisi yöntemlerin sınıflandırma performanslarını karşılaştırmak için kullanılmıştır. Analiz sonucunda, finansal başarısızlıktan iki yıl önce en yüksekten düşüğe genel sınıflandırma doğruluğu SVM (% 92,31), CART (%88,46), ANN (% 84,62), KNN (%80,77) olarak bulunmuştur. Finansal başarısızlıktan bir yıl önce en yüksekten en düşüğe genel sınıflandırma doğruluğu CART (% 96,15), ANN (%92,31), SVM (% 80,77) ve KNN (%84,62) olarak elde edilmiştir. CART karar ağacının oluşturulmasında önemli değişkenler olarak Özsermaye kârlılığı (ROE) ve Aktif Kârlılık Oranı (ROA) bulunmuştur. Çalışmada elde edilen dört modelin finansal başarı/başarısızlığı bir ve iki yıl öncesinden yüksek oranda tahmin etmesi, ilgililerin kullandıkları modeller içerisine bu çalışmada elde edilen modelleri dâhil edebileceklerini göstermektedir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | AKSOY B, BOZTOSUN D (2021). COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. , 56 - 86. 10.17218/hititsbd.880658 |
| Chicago | AKSOY BARIS,BOZTOSUN Derviş COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. (2021): 56 - 86. 10.17218/hititsbd.880658 |
| MLA | AKSOY BARIS,BOZTOSUN Derviş COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. , 2021, ss.56 - 86. 10.17218/hititsbd.880658 |
| AMA | AKSOY B,BOZTOSUN D COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. . 2021; 56 - 86. 10.17218/hititsbd.880658 |
| Vancouver | AKSOY B,BOZTOSUN D COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. . 2021; 56 - 86. 10.17218/hititsbd.880658 |
| IEEE | AKSOY B,BOZTOSUN D "COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL." , ss.56 - 86, 2021. 10.17218/hititsbd.880658 |
| ISNAD | AKSOY, BARIS - BOZTOSUN, Derviş. "COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL". (2021), 56-86. https://doi.org/10.17218/hititsbd.880658 |
| APA | AKSOY B, BOZTOSUN D (2021). COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. Hitit Sosyal Bilimler Dergisi (Online), 14(1), 56 - 86. 10.17218/hititsbd.880658 |
| Chicago | AKSOY BARIS,BOZTOSUN Derviş COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. Hitit Sosyal Bilimler Dergisi (Online) 14, no.1 (2021): 56 - 86. 10.17218/hititsbd.880658 |
| MLA | AKSOY BARIS,BOZTOSUN Derviş COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. Hitit Sosyal Bilimler Dergisi (Online), vol.14, no.1, 2021, ss.56 - 86. 10.17218/hititsbd.880658 |
| AMA | AKSOY B,BOZTOSUN D COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. Hitit Sosyal Bilimler Dergisi (Online). 2021; 14(1): 56 - 86. 10.17218/hititsbd.880658 |
| Vancouver | AKSOY B,BOZTOSUN D COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL. Hitit Sosyal Bilimler Dergisi (Online). 2021; 14(1): 56 - 86. 10.17218/hititsbd.880658 |
| IEEE | AKSOY B,BOZTOSUN D "COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL." Hitit Sosyal Bilimler Dergisi (Online), 14, ss.56 - 86, 2021. 10.17218/hititsbd.880658 |
| ISNAD | AKSOY, BARIS - BOZTOSUN, Derviş. "COMPARISON OF CLASSIFICATION PERFORMANCE OF MACHINE LEARNING METHODS IN PREDICTION FINANCIAL FAILURE: EVIDENCE FROM BORSA İSTANBUL". Hitit Sosyal Bilimler Dergisi (Online) 14/1 (2021), 56-86. https://doi.org/10.17218/hititsbd.880658 |
