AN APPLICATION ABOUT DETERMINING EXCHANGE INVESTMENT STRATEGY USING GREY SYSTEM THEORY AND GAME THEORY

Döviz yatırımlarında en önemli etken yatırım yapılan dövizin fiyatının değişeceği öngörüsüdür. Bu nedenle yatırımcı, yatırım yapmadan önce yatırım yapmak istediği dövizin fiyatının ilerde artıp atmayacağı hakkında önceden fikir sahibi olmak istemektedir. Bu çalışmanın amacı, gri tahmin yöntemi ile oyun teorisi yöntemini birlikte kullanarak başarılı bir döviz kuru yatırım stratejisi ortaya koymaktır. Bu amaçla; sekiz adet döviz kurunun Ocak 2010’dan Mart 2016’ya kadar olan haftalık kapanış verileri kullanılarak gri sistem teorisi ile döviz kuru tahmini yapılmış ve oyun teorisi ile de yatırım kararı alınmıştır. Çalışmanın sonunda, yöntemlerde kullanılan veri sayısı azaltıldıkça daha başarılı sonuçlar elde edildiği görülmüştür

Anahtar Kelimeler:

Döviz tahmini, oyun teorisi

An Application For Determining Foreign Exchange Investment Strategy With Gray System Theory and Game Theory

The most important factor in exchange investments is the forecast that the value of the invested exchange will change. For this reason, the investor wants to have an idea beforehand about whether the price of foreign exchange which he wants to invest before investing will increase in the future. The purpose of this study is to establish a successful exchange rate investment strategy by using the grey forecast method and the game theory method together. So as to achieve this, the exchange rate was estimated by grey system theory using weekly closing data of eight exchange rates from January 2010 to March 2016 and investment decision was made by game theory. At the end of the study, as the number of data used in methods was reduced, it was observed that more successful results were obtained.

Keywords:

Exchange forecast game theory, grey system theory,

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