ارائه مدل پیش‌بینی بحران مالی بازار سرمایه ایران با استفاده از الگوریتم‌های ترکیبی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 دانشجوی دکتری، واحد خمین، دانشگاه آزاد اسلامی، مرکزی، ایران

2 دانشیار، گروه حسابداری، دانشکده مدیریت و اقتصاد، دانشگاه لرستان، خرم اباد، ایران

3 استادیار، گروه حسابداری، دانشگاه بوعلی، همدان، ایران

4 دانشیار، گروه اقتصاد، واحد اراک، دانشگاه آزاد اسلامی، اراک، ایران

چکیده

مدیران و سرمایه‌گذاران همواره تمایل دارند نتایج تصمیمات و سرمایه‌گذاری‌های خود را بر اساس شرایط موجود و انتظارات پیش‌بینی کنند و از وقوع بحران‌های مالی در آینده آگاه شوند. بدون شک برای این کار، نیازمند تحلیلی درست از وضع موجود و پیش بینی رخدادهای آتی می‌باشند. لذا هدف پژوهش حاضر ارائه مدلی پویا برای پیش‌بینی بحران‌های مالی احتمالی است. برای نیل به هدف پژوهش، ابتدا با استفاده از تحلیل مضمون 25 شاخص از طبقه‌های شاخص‌های کلان اقتصادی، عوامل صنعت، ویژگی شرکت‌ها، وقایع سیاسی، فرهنگی، رفتاری شناسایی شد. سپس، با بکارگیری الگوریتم رگرسیون چندمتغیره، الگوریتم‌های هوشمند مورچگان و بهینه‌سازی ازدحام ذرات و با استفاده از داده‌های ترکیبی 173 شرکت پذیرفته‌شده در ﺑﻮرس اوراق بهادار تهران از سال 1388 تا 1398 ، مدل پیشنهادی آزمون شد. یافته‌ها بر اساس روش رگرسیون نشان داد که برخی از معیارهای درون و برون شرکتی، تأثیر معناداری بر بحران مالی شرکت‌ها داشته است. از طرف دیگر، یافته‌ها نشان داد که از نظر کارایی، روش بهینه‌سازی مورچگان بیشترین کارایی را در مسئله پیش‌بینی بحران مالی دارد. در نهایت نیز مشخص شد که اطلاعات متغیرهای مستقل مورد بررسی می‌تواند بحران مالی شرکت‌ها را پیش‌بینی کند. یافته‌های تحقیق همچنین نشان می‌دهد که تا پنج سال قبل از بحران مالی می‌توان با دقت نسبتاً بالایی بحران مالی را در شرکت‌ها را پیش‌بینی کرد اما با کاهش بحران مالی، به دلیل کاهش وضوح و دقت شاخص‌های پیش‌بینی بخش مالی، توانایی پیش‌بینی مدل نیز کاهش می‌یابد.

کلیدواژه‌ها

عنوان مقاله [English]

Presenting A Model for Predicting the Financial Crisis of The Iranian Capital Market Using Hybrid Algorithms

نویسندگان [English]

  • maryam rohisara 1
  • Masoud taherinia 2
  • hasan zalaghi 3
  • ahmad sarlak 4
1 PhD student, Khomein branch, Islamic Azad University, Markazi, Iran
2 Associate Professor, Department of Accounting, Faculty of Management and Economics, Lorestan University, Khoramabad, Iran
3 Assistant Professor, Department of Accounting, Bo Ali University, Hamadan, Iran
4 Associate Professor, Department of Economics, Arak Branch, Islamic Azad University, Arak, Iran
چکیده [English]

Managers and investors always tend to predict the results of their decisions and investments based on expectations and existing conditions. Undoubtedly, for this purpose, they need a correct analysis of the current situation and predict future events. Therefore, the aim of the current research is to provide a dynamic model for predicting possible financial crises. In order to achieve the purpose of the research, first, by using the content analysis, 25 indicators were identified from the categories of macroeconomic indicators, industry factors, company characteristics, political, cultural, and behavioral events. Then, by using multivariable regression algorithm, smart ant colony algorithms and particle swarm optimization, and using the combined data of 173 companies accepted in Tehran Stock Exchange from 2010 to 2020, the proposed model was tested. The findings based on the regression method showed that some internal and external criteria had a significant impact on the financial crisis of companies. the findings showed that in terms of efficiency, the optimization method of ants is the most efficient in the problem of predicting the financial crisis. Finally, it was found that the information of independent variables can predict the financial crisis of companies. The findings of the research also show that up to five years before the financial crisis, it is possible to predict the financial crisis in companies with relatively high accuracy, but as the financial crisis subsides, due to the decrease in the clarity and accuracy of the financial sector forecasting indicators, the predictive ability of the model also decreases.

کلیدواژه‌ها [English]

  • Financial Crisis
  • Financial Distress
  • Organization Internal and External Indicators

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پژوهش های نوین در تصمیم گیری
دوره 8، شماره 3
آبان 1402
صفحه 104-131

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