An application about determining exchange investment strategy using grey system theory and game theory

The most important factor in exchange investments is the forecast that the value of the invested exchange will change. Therefore, an investor would like to have the information about whether the exchange in which he wants to invest will rise or not in the future before he invests. However, the future is never known precisely. Instead exchange investors incline to the methods which could provide the most definite information about the future and decide to invest by using these methods. It has been tried to develop many methods to make exchange investors decide in the best way. Forecasting and deciding methods which have been developed do not give the same results in all conditions. Therefore, it is an important step that the forecasting and deciding method to be used tested beforehand. The aim of this study is to make a successful exchange forecast by using grey forecast model and game theory 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.