Analysis of Economic Environment Incidence in Genetic Programming-Evolved Multiperiod Bankruptcy Prediction Models

Abstract

[Abstract]: Genetic programming (GP) is used to obtain multiperiod bankruptcy prediction models, as well as to perform a prior featureselection process for these models. Given the controversy in the field of bankruptcy prediction about the need to include (or not)variables from the economic environment as input information for the prediction models, an analysis is carried out to checkwhether the impact that the economic environment undoubtedly has on the firms can be captured using only the financialvariables of the firm as explanatory variables. To this end, the analysis includes a study of the correlation between the estimatesof the prediction models and certain economic indicators. The results confirm the possibility of capturing the evolution of theeconomic environment using only financial information as input, as strong correlations are shown between the predictions of themodels and important economic indicators over a very long postlearning period (2008–2020) and varied in terms of the economicenvironment (crisis, recovery, COVID, etc.).