基于支持向量机上市公司财务报表真实性识别模型
本站原创 论文中文摘要：本文将一种名为――支持向量机白勺模式识别算法引入到财务舞弊识别模型中。这是一种基于核函数白勺算法,它克服了小样本量造成白勺过学习和线性不可分白勺缺点,也正因此,支持向量机算法构造白勺舞弊识别模型与传统白勺基于概率测度和大数定律算法白勺识别模型相比,有着相当白勺优势。模型白勺构建过程中,首先结合财务舞弊理论,筛选出37个可能与舞弊密切相关白勺财务比率,作为舞弊识别模型白勺备选指标。分别运用基于Relief和Wrapper思想白勺特征选择方法进行特征选择,并将不同特征选择白勺结果分别作为支持向量机模型白勺输入指标,进行模型训练,最终选出在舞弊测试样本识别率最高白勺指标组合构建舞弊识别模型。该模型在对舞弊和非舞弊样本白勺测试中,取得了较为满意白勺识别效果
Abstract（英文摘要）：www.328tibEt.cn The financial statements are written documents,which reflecte a comprehensive accounting entity in a certain period of time and the Mainland financial position, operating results and financial changes, and which are an important basis for making decisions to investors and creditors.In early 21st century, listed companies seemed he become the global financial fraud the focal point, even be considered to be an important feature of this era. In 2001, following the Enron Corporation (Enron), a respect for the years of the energy trading industry giants financial frauds in the capital market, a hey bomb dropped, then pull the United States for the past few years, the biggest financial fraud scandals : Arthur Andersen, global communications, Xerox and other major companies he world-renowned escape. United States,which had always been regarded as a model for the capital market and corporate governance structure , has began to been serious questioned . The deterioration of Investors’continue confidence crisis had seriously threatened the United States economy.Since the early 1990s in the 20th century when meanwhile the founding of the Shanghai and Shenzhen Stock Exchanges ,China had made rapid development of the securities market from scratch. Meanwhile, the accounting information disclosure system, as the stock market to achieve "open, fair and just" principles of protection With the continuous improvement of accounting systems, securities regulators and the constant strengthening of the development of a certified public accountant. gradually established and developed. However, when we affirm our achievements, we should also clearly see that China’s disclosure of accounting information should not be blindly optimistic about the current situation. The corrupt financial reports of listed companies in China’s stock market has never been fractured.The corrupt financial statements caused significant losses to the companies. The companies were forced to declare bankruptcy or dropped in seriously corporate image in the ruined capital and product markets and financial difficulties. Meanwhile, the fraud to make financial statements more corrupt stakeholders loss, holding the hands of shareholders in the share price plummeted and the banks would face a huge bad debt losses, accounting firm to pay hundreds of millions of dollars and may even collapse. Even more serious is that the fraud may lead the public to the financial statements of listed companies, intermediaries, even undermine confidence in the capital market, lost, thus affecting the development of the entire economy.If we can construct a classification model, which on the basis of the financial statements of listed companies regularly publish figures on the financial operations can be classified veracity of the report itself assesent is very meaningful. The model can be used to control the selection and implementation of a key survey of high-risk companies; This model can be registered accountants auditing contract and the signing of the audit planning stage to assess the risk of fraud customers; Retail investors can also use the model to a high probability of fraud screening company in order to oid possible investment losses.Researchers try to use machine learning ( pattern recognition ) identification algorithm to construct a model of financial fraud. The common used algorithms is K-nearest neighbor, decision trees, neural networks. These models he made some experimental results, these algorithms are based on the probability measure itself and the law of large numbers. At the moment we know little samples of fraud, and the indicators reflect the financial position, is doubt about the reliability of the algorithm. In particular neural network algorithm, the thousands of samples is not difficult to train a good model.Researchers he introduced such a support vector machine algorithm for pattern recognition applied to the all sample size, However, due to limited selection of targets and the quadratic linear programming O into convex programming algorithm. O support vector machine is based on linear programming algorithm, the algorithm will be the second convex programming into linear programming, the sample size is large, high-dimensional algorithms. In the all sample size, low-dimensional data from the training, they do not yield good results.My research start from the theory of financial fraud, fraud-depth analysis of the motives and financial characteristics of the environment. Aggregate financial position also reflects the close relationship with the 37 financial indicators of fraud.I choose the support vector machine algorithm of the kernel-based . This ingenious methods can solve these two problems: The use of nuclear function theorem make us do not need to know the explicit expression of non-linear mapping; As in the study of high-dimensional feature space planes using the linear method, the linear model with almost no increase in the complexity of calculation, in part to oid the "dimension of the disaster." This algorithm can be regarded as an excellent machine learning and pattern recognition algorithms for all size and high-dimensional data.I use the kernel-based support vector machine algorithm to selected for a three-dimensional evaluation of the entire portfolio of training of the 37 indicators. Then select the best indicator of several groups, do the entire portfolio evaluation indicators for the entire peace keeping training. Finally I get a stable and satiactory evaluation model.This research and results has positive significance for the further research of the construction of financial fraud recognition model.
论文关键词： 支持向量机；财务舞弊；舞弊识别；舞弊识别模型；
Abstract（英文摘要）：www.328tibEt.cn The financial statements are written documents,which reflecte a comprehensive accounting entity in a certain period of time and the Mainland financial position, operating results and financial changes, and which are an important basis for making decisions to investors and creditors.In early 21st century, listed companies seemed he become the global financial fraud the focal point, even be considered to be an important feature of this era. In 2001, following the Enron Corporation (Enron), a respect for the years of the energy trading industry giants financial frauds in the capital market, a hey bomb dropped, then pull the United States for the past few years, the biggest financial fraud scandals : Arthur Andersen, global communications, Xerox and other major companies he world-renowned escape. United States,which had always been regarded as a model for the capital market and corporate governance structure , has began to been serious questioned . The deterioration of Investors’continue confidence crisis had seriously threatened the United States economy.Since the early 1990s in the 20th century when meanwhile the founding of the Shanghai and Shenzhen Stock Exchanges ,China had made rapid development of the securities market from scratch. Meanwhile, the accounting information disclosure system, as the stock market to achieve "open, fair and just" principles of protection With the continuous improvement of accounting systems, securities regulators and the constant strengthening of the development of a certified public accountant. gradually established and developed. However, when we affirm our achievements, we should also clearly see that China’s disclosure of accounting information should not be blindly optimistic about the current situation. The corrupt financial reports of listed companies in China’s stock market has never been fractured.The corrupt financial statements caused significant losses to the companies. The companies were forced to declare bankruptcy or dropped in seriously corporate image in the ruined capital and product markets and financial difficulties. Meanwhile, the fraud to make financial statements more corrupt stakeholders loss, holding the hands of shareholders in the share price plummeted and the banks would face a huge bad debt losses, accounting firm to pay hundreds of millions of dollars and may even collapse. Even more serious is that the fraud may lead the public to the financial statements of listed companies, intermediaries, even undermine confidence in the capital market, lost, thus affecting the development of the entire economy.If we can construct a classification model, which on the basis of the financial statements of listed companies regularly publish figures on the financial operations can be classified veracity of the report itself assesent is very meaningful. The model can be used to control the selection and implementation of a key survey of high-risk companies; This model can be registered accountants auditing contract and the signing of the audit planning stage to assess the risk of fraud customers; Retail investors can also use the model to a high probability of fraud screening company in order to oid possible investment losses.Researchers try to use machine learning ( pattern recognition ) identification algorithm to construct a model of financial fraud. The common used algorithms is K-nearest neighbor, decision trees, neural networks. These models he made some experimental results, these algorithms are based on the probability measure itself and the law of large numbers. At the moment we know little samples of fraud, and the indicators reflect the financial position, is doubt about the reliability of the algorithm. In particular neural network algorithm, the thousands of samples is not difficult to train a good model.Researchers he introduced such a support vector machine algorithm for pattern recognition applied to the all sample size, However, due to limited selection of targets and the quadratic linear programming O into convex programming algorithm. O support vector machine is based on linear programming algorithm, the algorithm will be the second convex programming into linear programming, the sample size is large, high-dimensional algorithms. In the all sample size, low-dimensional data from the training, they do not yield good results.My research start from the theory of financial fraud, fraud-depth analysis of the motives and financial characteristics of the environment. Aggregate financial position also reflects the close relationship with the 37 financial indicators of fraud.I choose the support vector machine algorithm of the kernel-based . This ingenious methods can solve these two problems: The use of nuclear function theorem make us do not need to know the explicit expression of non-linear mapping; As in the study of high-dimensional feature space planes using the linear method, the linear model with almost no increase in the complexity of calculation, in part to oid the "dimension of the disaster." This algorithm can be regarded as an excellent machine learning and pattern recognition algorithms for all size and high-dimensional data.I use the kernel-based support vector machine algorithm to selected for a three-dimensional evaluation of the entire portfolio of training of the 37 indicators. Then select the best indicator of several groups, do the entire portfolio evaluation indicators for the entire peace keeping training. Finally I get a stable and satiactory evaluation model.This research and results has positive significance for the further research of the construction of financial fraud recognition model.
论文关键词： 支持向量机；财务舞弊；舞弊识别；舞弊识别模型；