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Financial Statement Fraud Detection: An Analysis of Statistical and Machine Learning Algorithms

Johan Perols

2011-5-1

AUDITING: A Journal of Practice & Theory Vol. 30 (2)

10.2308/ajpt-50009

摘要

SUMMARY This study compares the performance of six popular statistical and machine learning models in detecting financial statement fraud under different assumptions of misclassification costs and ratios of fraud firms to nonfraud firms. The results show, somewhat surprisingly, that logistic regression and support vector machines perform well relative to an artificial neural network, bagging, C4.5, and stacking. The results also reveal some diversity in predictors used across the classification ...

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