In this paper, we proposed a hybrid system to predict corporate bankruptcy. The whole procedure consists of the following four stages: first, sequential forward selection was used to extract the most important features; second, a rule-based model was chosen to fit the given dataset since it can present physical meaning; third, a genetic ant colony algorithm (GACA) was introduced; the fitness scaling strategy and the chaotic operator were incorporated with GACA, forming a new algorithm—fitness-scaling chaotic GACA (FSCGACA), which was used to seek the optimal parameters of the rule-based model; and finally, the stratifiedK-fold cross-validation technique was used to enhance the generalization of the model. Simulation experiments of 1000 corporations’ data collected from 2006 to 2009 demonstrated that the proposed model was effective. It selected the 5 most important factors as “net income to stock broker’s equality,” “quick ratio,” “retained earnings to total assets,” “stockholders’ equity to total assets,” and “financial expenses to sales.” The total misclassification error of the proposed FSCGACA was only 7.9%, exceeding the results of genetic algorithm (GA), ant colony algorithm (ACA), and GACA. The average computation time of the model is 2.02 s.
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