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

Year 2017, Volume: 6 Issue: 12, 73 - 80, 26.12.2017

Bünyamin Er Fatih Demir

Abstract

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

Keywords

Döviz tahmini, oyun teorisi

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

Abstract

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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