Open Access

ARTICLE

Feature Selection with Optimal Variational Auto Encoder for Financial Crisis Prediction

Kavitha Muthukumaran^*, K. Hariharanath, Vani Haridasan

SSN School of Management, Kalavakkam, Chennai, 603110, India

* Corresponding Author: Kavitha Muthukumaran. Email:

Computer Systems Science and Engineering 2023, 45(1), 887-901. https://doi.org/10.32604/csse.2023.030627

Received 29 March 2022; Accepted 17 May 2022; Issue published 16 August 2022

Abstract

Financial crisis prediction (FCP) received significant attention in the financial sector for decision-making. Proper forecasting of the number of firms possible to fail is important to determine the growth index and strength of a nation’s economy. Conventionally, numerous approaches have been developed in the design of accurate FCP processes. At the same time, classifier efficacy and predictive accuracy are inadequate for real-time applications. In addition, several established techniques carry out well to any of the specific datasets but are not adjustable to distinct datasets. Thus, there is a necessity for developing an effectual prediction technique for optimum classifier performance and adjustable to various datasets. This paper presents a novel multi-vs. optimization (MVO) based feature selection (FS) with an optimal variational auto encoder (OVAE) model for FCP. The proposed multi-vs. optimization based feature selection with optimal variational auto encoder (MVOFS-OVAE) model mainly aims to accomplish forecasting the financial crisis. For achieving this, the proposed MVOFS-OVAE model primarily pre-processes the financial data using min-max normalization. In addition, the MVOFS-OVAE model designs a feature subset selection process using the MVOFS approach. Followed by, the variational auto encoder (VAE) model is applied for the categorization of financial data into financial crisis or non-financial crisis. Finally, the differential evolution (DE) algorithm is utilized for the parameter tuning of the VAE model. A series of simulations on the benchmark dataset reported the betterment of the MVOFS-OVAE approach over the recent state of art approaches.

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Keywords

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