PREDICTION OF FINANCIAL INVESTMENT INSTRUMENTS PRICES: EVIDENCE FROM GREY SYSTEM THEORY

Abstract

As in all fields of study, estimating time series accurately in finance has been an important issue for researchers in the past and present. Therefore, it is aimed to avoid the uncertainty of the future in both theoretical and applied fields and to make plans from today and to minimize the damages that the future may bring. Based on this idea, many estimation methods have been developed. One of these is the Grey System Theory. Grey System Theory, which is a theory based on modeling and analysis by means of grey differential equations, incorporates many techniques. This technique is emphasized especially because it enables analysis with few observations. In this study, the most preferred by estimating the uncertainty of the future, financial investment instruments prices in Turkey have tried to show the direction to a certain extent, reduce and close to both investors and prices of financial instruments related persons and institutions. For this purpose, monthly data of Gold, Dollar, Euro, XU 100, Government Domestic Debt Securities, Deposit Interest Rate, for the first 11 months of 2019 were estimated using GM(1,1) model. As a result, with the GM(1,1) model, estimates were obtained with the highest accuracy rates in all investment instruments.