تاثیر عوامل مالی بر پیش بینی فروش با روشهای یادگیری ماشین نظارت شده: مطالعه موردی شرکتهای بخش غذایی و آشامیدنی پذیرفته شده در بورس اوراق بهادار تهران
محورهای موضوعی : فصلنامه اقتصاد محاسباتیصبا علیرضایی 1 , خدیجه خدابخشی پاریجان 2 , مرضیه کلائی 3
1 - گروه حسابداری، واحد تهران غرب، دانشگاه آزاداسلامی، تهران، ایران
2 - گروه حسابداری، واحد تهران غرب، دانشگاه آزاد اسلامی، تهران، ایران
3 - گروه حسابداری، دانشکده علوم انسانی، واحد تهران غرب، دانشگاه آزاد اسلامی، تهران، ایران
کلید واژه: پیش بینی فروش, داده های مالی, رگرسیون, یادگیری ماشین,
چکیده مقاله :
اين مطالعه به شناسایی عوامل مالی موثر بر پيش بيني فروش آتي شرکتهای صنایع غذایی پذيرفته شده در بورس اوراق بهادار تهران با استفاده از روشهای یادگیری ماشین نظارت شده مي پردازد. دوره مورد مطالعه اين پژوهش،50 دوره فصلی بوده و سالهاي 1389 تا 1401 را در بـر مـی گيـرد. نمونـه انتخابي شامل 23 شركت پذيرفته شده در بورس اوراق بهادار تهران از صنعت غذایی مـی باشـد. روش آماري در اين تحقيق، تحليل همبستگي از طريق رگرسيون با استفاده از مدل های رگرسیون خطی، رگرسیون جنگل تصادفی، رگرسیون بردار پشتیبانی، رگرسیون بهبود گرادیان می باشد. آماده سازی و پیش پردازش داده ها و ساخت مدل با استفاده از زبان پایتون در پلتفرم ژوپیتر نوت بوک انجام شده اند. مقایسه نتایج مدل ها نشان داد که مدل جنگل تصادفی نسبت به سایر الگوریتم ها عملکرد بهتری در پیشبینی و توضیح واریانس فروش با استفاده از داده های مالی دارد. الگوریتم های تقویت گرادیان ، درخت تصمیم، بردار پشتیبانی و مدل رگرسیون خطی در جایگاه بعدی از نظر میزان آماره R- بودند. نتایج مدل جنگل تصادفی نشان داد که که اطلاعات مالی شرکتها تنها 38 درصد واریانس فروش 2 فصل آتی را توضیح میدهد و 60 درصد میزان فروش تحت تاثیر سایر فاکتورها از جمله اقدامات بازاریابی، ویژگیهای مربوط به شرکت و فروشگاه، عوامل خارجی و … می باشد. همچنین تحلیل نتایج نشان داد که اطلاعات فروش گذشته و نرخ تورم تاثیری بر پیش بینی فروش آتی ندارد.
Extended Abstract
Purpose
This study deals with the identification of financial factors affecting future sales. It aims to identify the company's financial factors to predict future sales of the food industry in the Tehran Stock Exchange using supervised machine learning methods. The study period covers 50 seasonal periods from 1389 to 1401, with a sample of 23 companies from the food industry. The financial data used includes balance sheets, production and sales statistics, cost of goods sold, and financial ratio tables. After data cleaning and removing unrelated financial ratios, about 50 financial statement items were entered into the model. Features with a correlation higher than 70% were removed, resulting in a final model with 21 financial features. The seasonal inflation rate was included as a dependent variable to predict sales for the next two periods. Objective Sales forecasting is of particular importance as one of the most important stages of financial and strategic planning in any company, especially in competitive and dynamic industries. In the food and beverage industry, which is of utmost importance due to basic human needs and sustainable demand, the ability to accurately forecast sales can help companies optimize production, inventory management, and marketing strategies. Considering the rapid changes in consumers' tastes, price fluctuations of raw materials and increasing competition in this industry, identifying factors affecting sales forecasting is very important. Financial factors, as one of the key components in the sales forecasting process, can have significant effects on the financial and commercial performance of companies. These factors include variables such as income, expenses, profit margin, capital structure and liquidity that can directly or indirectly affect sales forecast. For example, an increase in production costs could lead to an increase in product prices and thus a decrease in demand, or changes in the capital structure could affect the company's ability to finance advertising and marketing. In the Tehran Stock Exchange, food and beverage companies, as one of the important economic competitors, are facing certain challenges and opportunities.
Methodology
In this context, economic fluctuations, exchange rate changes, as well as changes in government policies can have significant effects on the performance of these companies. Therefore, detailed analysis of financial factors and identification of their relationships with sales forecast can help the managers of these companies to make better decisions in terms of sales, production and financing strategies. This research identifies and analyzes the effect of financial factors on forecasting the sales of food and beverage companies in Tehran Stock Exchange. By examining the financial and sales data of these companies, the goal is to identify effective patterns and help managers and investors make strategic decisions. In the following, we will review the available literature, research methodology and data analysis to provide a basis for a better understanding of this issue.
Finding
The research employs correlation analysis through regression using linear regression, random forest regression, and vector regression models. The study trained the regression model from the first season of 2011 to mid-2019 and tested it by predicting sales for the last six seasons for 23 companies. Prediction accuracy was evaluated by comparing actual and predicted values using R-squared (R²) and Mean Absolute Error (MAE). Data preparation and model building were performed using Python on the Jupyter Notebook platform.
Conclusion
The results indicated that the random forest model outperformed other algorithms in predicting and explaining sales variance using financial data. Other algorithms, including reinforcement learning, decision trees, support vector machines, and linear regression, ranked lower in terms of R-statistics.
The random forest model demonstrated that financial data explains only 38% of the sales variance for the next two seasons, while 60% is influenced by other factors. Financial factors such as total amount, previous sales amount, profit margin, debt ratio, return on assets, interest payments, operating cash, receivables collection period, profit before profit, asset ratio, current ratio, and production overhead predict less than half of future sales variance. Thus, financial data alone is insufficient for accurate future sales forecasting. Additionally, past sales information and inflation rate showed no effect on future sales predictions. Analysis of various financial factors can play a very important role in predicting the future financial performance of companies. Factors such as total amount, previous sales amount, profit margin, debt ratio, return on assets, dividend payment, operating cash, debt collection period, profit before profit, asset ratio, current ratio and production overhead, all indicate the financial and operational status of the company. and can be used as key indicators to evaluate the sustainability and future growth of companies. The combination of these financial factors can help predict the future of companies, especially when these factors are examined simultaneously and in interaction with each other. However, it should be noted that none of these factors alone can fully predict the company's future, and a comprehensive and more detailed analysis of market conditions and the economic environment is also necessary.
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Retrieved from https://doi.org/10.1016/j.eswa.2021.115925/
