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435200410()JournalofFudanUniversity(NaturalScience)Vol.43No.5Oct.2004:042727104(2004)0520785204X,,,(,100044):.,,,,,.:;;;;:F830.9:A,.,,,;;,.,.,,,.60,,13,46,.,,,,7.,,,.,,,.,.1,().BP.1.1BoostingBagging8,,.Bagging.Bagging,,n,..X:2004203210:(1973),,;(1944),,,.1.2,.,.,C4.5,(MDLP)ChiMergeChi2,RCAT,,.22.1,(ST).,19972002(ST),(ST),,2.115ST434(549).:1)ST,tST,(t22);2)ST,(t23)11,tST,(t22)ROE8%,(t22).ROE=/.9,,,.80ST80ST,389.,ST,,t(t22)8%.,,,.2.2:.,10://(/(+))///.,STST,10T,10.1.1TTab.1UnivariateT2testoffinancialratiosTPTST1.947696910.64505790ST1.361492250.11740416-0.89410.3734/ST0.077149480.02782470ST0.132001410.009208201.87150.0438ST2.989119593.58292822ST262.22901197225.927575931.14740.02518/.1):TP0.37340.05,.,STST.2)/:TP0.05,STST/.687()43,6://(/(+))///.33.1()1020.BP,,36,0.3,-0.30.3.2Tab.2ComparingbetweenindividualNN1)andNNs1)ensembles%BP6232183.5525.7115.54BP6262181.4931.4317.23Bagging(20)385.8625.7112.99Bagging(20)685.8622.8613.28Bagging(10)384.5820.0014.97Bagging(10)685.8625.7112.991)NN=NeuralNetwork,NNs=NeuralNetworks.2,4BP,.,3,35.,26232162621BP.,.3.23Tab.3ComparingbetweenindividualDT1)andDTs1)ensembles/%/%/%C4.521.420.016.082.0MDLP21.620.017.081.5RCAT8.830.07.081.5ChiMerge10.228.011.081.520.08.086.01)DT=DecisionTree,DTs=DecisionTrees.:(MDLP),ChiMergeChi2,RCAT,5()3.3,,,,.4.,,,.,.1),STST,,,7875:.2).,3.,,.,,,.:1DimitrasAI,ZanakisSH,ZopounidisC.AsurveyofbusinessfailureswithanemphasisonpredictionmethodsandindustrialapplicationsJ.EuropeanJournalofOperationalResearch,1996,90:4872513.2AltmanEI.Financialratios,discriminantanalysisandthepredictionofcorporatebankruptcyJ.JFinance,1968,23(4):5892609.3AltmanEI,HaldermanR,NarayamanP.ZetaanalysisJ,JournalofBankingandFinance,1977,1:29254.4CharalambousC,CharitouA,KaourouF.Comparativeanalysisofartificialneuralnetworkmodels:ApplicationinbankruptcypredictionA.AmericanAccountingAssociationConferenceC.SanDiego:USA,1999.4032425.5AtiyaAF.Bankruptcypredictionforcreditriskusingneuralnetwork:AsurveyandnewresultsJ.IEEETransNN,2001,12(4):9292935.6FrydmanH,AltmanEI,KaoDL.Introducingrecursivepartitioningforfinancialclassification:Thecaseoffi2nancialdistressJ.JournalofFinance,1985,40(1):2692291.7EisenbeisRA.Pitfallsintheapplicationofdiscriminantanalysisinbusiness,finance,andeconomicsJ.JFi2nance,1977,32:8752900.8,,,.BoostingBaggingJ.,2000,12:31240.9WilsonRL,RameshS.BankruptcypredictionusingneuralnetworksJ.DecisionSupportSystems,1994,11:5452557.EnsemblesofClassifiersforFinancialFailurePredictionXIEJi2gang,QIUZheng2ding,ZHOUCheng,WANGJing(InstituteofInformationScience,BeijingJiaotongUniversity,Beijing100044,China)Abstract:Financialdistresspredictionisanimportantissueinfinance.ManymodelssuchasMultivariateDiscriminantAnalysisandNeuralNetworkcannotenhancethegeneralizationorstability.ThisstudyappliesensemblesofclassifierstofinancialfailurepredictioninChinalistedcompaniesfirstly.Itshowsthatensemblesofclassifiersoutperformsingleclassifier.Thenbringsforwardthefutureresearchgoal.Keywords:ensemblesofclassifiers;financialfailure;prediction;decisiontree;neuralnetwork887()43