Related papers: Housing Market Microstructure
We develop a novel two-layer approach for optimising mortgage relief products through a simulated multi-agent mortgage environment. While the approach is generic, here the environment is calibrated to the US mortgage market based on…
First, we emphasize that the real estate price peaks which are currently under way in many industrialized countries (one important exception is Japan) share many of the characteristics of previous historical price peaks. In particular, we…
Urban house prices are strongly associated with local socioeconomic factors. In literature, house price modeling is based on socioeconomic variables from traditional census, which is not real-time, dynamic and comprehensive. Inspired by the…
Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US…
While there is excitement about the potential for algorithms to optimize individual decision-making, changes in individual behavior will, almost inevitably, impact markets. Yet little is known about such effects. In this paper, I study how…
We consider a financial market in which the risk-free rate of interest is modeled as a Markov diffusion. We suppose that home prices are set by a representative home-buyer, who can afford to pay only a fixed cash-flow per unit time for…
We develop a framework to holistically test for and monitor the impact of different types of events affecting a country's housing market, yet originating from housing-external sources. We classify events along three dimensions leading to…
Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an…
This article presents a mathematical model of dynamic pricing for real estate (RE) that incorporates multiple pricing groups, thereby expanding the capabilities of existing models. The developed model solves the problem of maximizing…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
We consider a continuous-time market with proportional transaction costs. Under appropriate assumptions we prove the existence of optimal strategies for investors who maximize their worst-case utility over a class of possible models. We…
Seasonality has traditionally shaped the U.S. housing market, with activity peaking in spring-summer and declining in autumn-winter. However, recent disruptions, particularly post-COVID-19, raise questions about shift in these patterns.…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this…
We study the effect of localized housing price hikes on renters' mobility, consumption, and credit outcomes. Consistent with a spatial equilibrium model, we find that the consumption responses vary greatly for movers and stayers. While…
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded…
We propose a novel multi-layered nonlinear model that is able to capture and predict the housing-demographic dynamics of the real-state market by simulating the transitions of owners among price-based house layers. This model allows us to…
Rough volatility is a well-established statistical stylised fact of financial assets. This property has lead to the design and analysis of various new rough stochastic volatility models. However, most of these developments have been carried…
The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link…
Real estate prices have a significant impact on individuals, families, businesses, and governments. The general objective of real estate price prediction is to identify and exploit socioeconomic patterns arising from real estate…