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

Yıl 2017, Cilt: 6 Sayı: 12, 73 - 80, 26.12.2017

Öz

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

Kaynakça

  • ARDISON, Kym Marcel Martins and Luciana de Andrade COSTA (2014), “A Game Theory Approach to Stock Lending Transactions in the Brazilian Stock Market”, Revista Contabilidade & Finanças, 25 (65), 177-188.
  • ASKARI, Mehdi and Hadi ASKARI (2011), “Time Series Grey System Prediction-based Models: Gold Price Forecasting”, Trends in Applied Sciences Research, 6 (11), 1287-1292.
  • BIERMAN, H. Scott and Luis Florentin FERNANDEZ (1998), Game Theory with Economic Applications (1th ed.), Boston: Addison-Wesley.
  • CHIN-TSAI, Lin; Lee IN-FUN and Huang YA-LING (2009), “Forecasting Thailand's Medical Tourism Demand and Revenue from Foreign Patients”, The Journal of Grey System, 21(4), 369-376.
  • CUKUR, Sadık; Erdoğan KOTIL and Resul ERYIGIT (2011), “Finansal Değişkenlerin Gri Modelle Tahmini” İMKB Dergisi, 9 (35), 11-21.
  • ESİN, Alptekin (1981), Yöneylem Araştırmasında Yararlanılan Karar Yöntemleri, Ankara: Ankara İktisadi ve Ticari İlimler Akademisi.
  • EVYAPAN, Berna (2009), Oyun Teorisi ve İMKB’de Sektörel Bir Uygulama, Yüksek Lisans Tezi, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü.
  • GE, Chao and Jiaqi XİE (2015), “Application of Grey Forecasting Model Based on Improved Residual Correction in the Cost Estimation of University Education”, International Journal of Emerging Technologies in Learning, 10 (8), 30-33.
  • GEDIKOĞLU, Zeynep Ayşe (2012), İMKB'de Sektörel Yatırımın Oyun Teorisi ile Analizi, Yüksek Lisans Tezi, Mimar Sinan Güzel Sanatlar Üniversitesi Fen Bilimleri Enstitüsü.
  • HUANG, Kuang Yu and Chuen-Jiuan JANE (2009), “A Hybrid Model for Stock Market Forecasting and Portfolio Selection Based on ARX, Grey System and RS Theories”, Expert Systems with Applications, 36 (3), 5387-5392.
  • KAYACAN, Erdal; Barış ULUTAS and Okyay KAYNAK (2010), “Grey System Theory-Based Models in Time Series Prediction”, Expert Systems with Applications, 37 (2), 1784-1789.
  • KESKIN, Halil Ibrahim (2009), Oyun Kuramının Ekonomide Uygulanması, Yüksek Lisans Tezi, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü.
  • KOSE, Erkan (2010), Gri Sistem Teorisi ve Belirsizlik Ortamı İçin EOQ Modeline Uygulanması, Doktora Tezi, Kara Harp Okulu Savunma Bilimleri Enstitüsü.
  • LIN, Chan-Ben; Shun-Feng SU and Yen-Tseng HSU (2001), “High-precision Forecast Using Grey Models”, International Journal of Systems Science, 32 (5), 609-617.
  • LIN, Yen-Hung; Jean-Shyan WANG and Ping-Feng PAI (2004), “A Grey Prediction Model with Factor Analysis Technique”, Journal of Chinese Institute of Industrial Engineers, 21 (6), 535-542.
  • MUSOLINO, Francesco (2012), “Game Theory For Speculative Derivatives: A Possible Stabilizing Regulatory Model” Atti della Accademia Peloritana dei Pericolanti-Classe di Scienze Fisiche, Matematiche e Naturali, 90 (S1), 1-19.
  • NGUYEN, Nhu-Ty and Thanh-Tuyen TRAN (2015), “Mathematical Development and Evaluation of Forecasting Models for Accuracy of Inflation in Developing Countries: A Case of Vietnam”, Discrete Dynamics in Nature and Society, 2015, 1-14.
  • OZKOK, Beyza (2009), Doğa’ya Karşı Oynayan Oyuncuların Ortaklıklarla Ödemelerini Arttırmaları ve Portföy Seçimi Problemine Bir Uygulama, Doktora Tezi, İstanbul Üniversitesi Sosyal Bilimler Enstitüsü.
  • OZTURK, Ahmet (2009), Yöneylem Araştırması, Bursa: Ekin Basım Yayın Dağıtım.
  • SAN CRISTÓBAL, José Ramón (2015), “A Cost Forecasting Model for a Vessel Drydocking”, Journal of Ship Production and Design, 31(1), 58-62.
  • SUN, Yu; Huixia HUANG and Chi ZHOU (2016), “DEA Game Cross-Efficiency Model to Urban Public Infrastructure Investment Comprehensive Efficiency of China”, Mathematical Problems in Engineering, 2016, 1-10.
  • XIE, Naiming; Sifeng LIU; Chaoqing YUAN and Yingjie YANG (2014), “Grey Number Sequence Forecasting Approach for Interval Analysis: A case of China's Gross Domestic Product Prediction”, Journal of Grey System, 26 (1), 45-58.
  • YU, Huang Kuang (2009), “A Hybrid GRA/MV Model for the Automatic Selection of Investment Portfolios with Minimum Risk and Maximum Return”, Journal of Grey System, 21 (2), 149-166.

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

Yıl 2017, Cilt: 6 Sayı: 12, 73 - 80, 26.12.2017

Öz

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.

Kaynakça

  • ARDISON, Kym Marcel Martins and Luciana de Andrade COSTA (2014), “A Game Theory Approach to Stock Lending Transactions in the Brazilian Stock Market”, Revista Contabilidade & Finanças, 25 (65), 177-188.
  • ASKARI, Mehdi and Hadi ASKARI (2011), “Time Series Grey System Prediction-based Models: Gold Price Forecasting”, Trends in Applied Sciences Research, 6 (11), 1287-1292.
  • BIERMAN, H. Scott and Luis Florentin FERNANDEZ (1998), Game Theory with Economic Applications (1th ed.), Boston: Addison-Wesley.
  • CHIN-TSAI, Lin; Lee IN-FUN and Huang YA-LING (2009), “Forecasting Thailand's Medical Tourism Demand and Revenue from Foreign Patients”, The Journal of Grey System, 21(4), 369-376.
  • CUKUR, Sadık; Erdoğan KOTIL and Resul ERYIGIT (2011), “Finansal Değişkenlerin Gri Modelle Tahmini” İMKB Dergisi, 9 (35), 11-21.
  • ESİN, Alptekin (1981), Yöneylem Araştırmasında Yararlanılan Karar Yöntemleri, Ankara: Ankara İktisadi ve Ticari İlimler Akademisi.
  • EVYAPAN, Berna (2009), Oyun Teorisi ve İMKB’de Sektörel Bir Uygulama, Yüksek Lisans Tezi, Dokuz Eylül Üniversitesi Sosyal Bilimler Enstitüsü.
  • GE, Chao and Jiaqi XİE (2015), “Application of Grey Forecasting Model Based on Improved Residual Correction in the Cost Estimation of University Education”, International Journal of Emerging Technologies in Learning, 10 (8), 30-33.
  • GEDIKOĞLU, Zeynep Ayşe (2012), İMKB'de Sektörel Yatırımın Oyun Teorisi ile Analizi, Yüksek Lisans Tezi, Mimar Sinan Güzel Sanatlar Üniversitesi Fen Bilimleri Enstitüsü.
  • HUANG, Kuang Yu and Chuen-Jiuan JANE (2009), “A Hybrid Model for Stock Market Forecasting and Portfolio Selection Based on ARX, Grey System and RS Theories”, Expert Systems with Applications, 36 (3), 5387-5392.
  • KAYACAN, Erdal; Barış ULUTAS and Okyay KAYNAK (2010), “Grey System Theory-Based Models in Time Series Prediction”, Expert Systems with Applications, 37 (2), 1784-1789.
  • KESKIN, Halil Ibrahim (2009), Oyun Kuramının Ekonomide Uygulanması, Yüksek Lisans Tezi, Çukurova Üniversitesi Sosyal Bilimler Enstitüsü.
  • KOSE, Erkan (2010), Gri Sistem Teorisi ve Belirsizlik Ortamı İçin EOQ Modeline Uygulanması, Doktora Tezi, Kara Harp Okulu Savunma Bilimleri Enstitüsü.
  • LIN, Chan-Ben; Shun-Feng SU and Yen-Tseng HSU (2001), “High-precision Forecast Using Grey Models”, International Journal of Systems Science, 32 (5), 609-617.
  • LIN, Yen-Hung; Jean-Shyan WANG and Ping-Feng PAI (2004), “A Grey Prediction Model with Factor Analysis Technique”, Journal of Chinese Institute of Industrial Engineers, 21 (6), 535-542.
  • MUSOLINO, Francesco (2012), “Game Theory For Speculative Derivatives: A Possible Stabilizing Regulatory Model” Atti della Accademia Peloritana dei Pericolanti-Classe di Scienze Fisiche, Matematiche e Naturali, 90 (S1), 1-19.
  • NGUYEN, Nhu-Ty and Thanh-Tuyen TRAN (2015), “Mathematical Development and Evaluation of Forecasting Models for Accuracy of Inflation in Developing Countries: A Case of Vietnam”, Discrete Dynamics in Nature and Society, 2015, 1-14.
  • OZKOK, Beyza (2009), Doğa’ya Karşı Oynayan Oyuncuların Ortaklıklarla Ödemelerini Arttırmaları ve Portföy Seçimi Problemine Bir Uygulama, Doktora Tezi, İstanbul Üniversitesi Sosyal Bilimler Enstitüsü.
  • OZTURK, Ahmet (2009), Yöneylem Araştırması, Bursa: Ekin Basım Yayın Dağıtım.
  • SAN CRISTÓBAL, José Ramón (2015), “A Cost Forecasting Model for a Vessel Drydocking”, Journal of Ship Production and Design, 31(1), 58-62.
  • SUN, Yu; Huixia HUANG and Chi ZHOU (2016), “DEA Game Cross-Efficiency Model to Urban Public Infrastructure Investment Comprehensive Efficiency of China”, Mathematical Problems in Engineering, 2016, 1-10.
  • XIE, Naiming; Sifeng LIU; Chaoqing YUAN and Yingjie YANG (2014), “Grey Number Sequence Forecasting Approach for Interval Analysis: A case of China's Gross Domestic Product Prediction”, Journal of Grey System, 26 (1), 45-58.
  • YU, Huang Kuang (2009), “A Hybrid GRA/MV Model for the Automatic Selection of Investment Portfolios with Minimum Risk and Maximum Return”, Journal of Grey System, 21 (2), 149-166.
Toplam 23 adet kaynakça vardır.

Ayrıntılar

Bölüm Makaleler
Yazarlar

Bünyamin Er

Fatih Demir

Yayımlanma Tarihi 26 Aralık 2017
Yayımlandığı Sayı Yıl 2017 Cilt: 6 Sayı: 12

Kaynak Göster

APA Er, B., & Demir, F. (2017). AN APPLICATION ABOUT DETERMINING EXCHANGE INVESTMENT STRATEGY USING GREY SYSTEM THEORY AND GAME THEORY. Global Journal of Economics and Business Studies, 6(12), 73-80.