Abstract: With the development of the economy and the improvement of the income level of residents, exchange of foreign exchange has gradually become a daily demand for people. However, the state has strict management for foreign exchange and limits for personal exchange quotas. When the personal foreign exchange expenditure exceeds the prescribed amount, it is considered to be suspected of splitting foreign exchange.In order to better grasp the suspected foreign exchange split in the future, we need more accurate forecasts.The historical data is used by the grey prediction model, and the predicted value of the combined prediction model is obtained by combining the Markov prediction model. The research and application of this paper show that the grey Markov combination forecasting model has higher precision than the single forecasting model and can predict the future data more accurately.

Key words: GM(1,1), Markov, state transition probability matrix, foreign exchange split, combined prediction