Related papers: Housing Market Microstructure
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended with random mark to deal with more realistic price tick…
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing…
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of…
The evolution of the Internet has manifested itself in many ways: the traffic characteristics, the interconnection topologies and the business relationships among the autonomous components. It is important to understand why (and how) this…
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets. They face a complex optimization problem with both static and dynamic components. They…
The price fluctuations in the financial markets are the result of the individual operations by many individual investors. However for many decades the finacial theory did not use directly this "microscopic representation". The difficulties…
Among the existing E-Commerce applications, online auctions are the most influential ones. Their impact on trading in the B2B (business to business) as well as in the B2C (business to consumer) and C2C (consumer to consumer) areas will be…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Traditional data sources for the analysis of housing markets show several limitations, that recently started to be overcome using data coming from housing sales advertisements (ads) websites. In this paper, using a large dataset of ads in…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
The Japanese real estate market, valued over 35 trillion USD, offers significant investment opportunities. Accurate rent and price forecasting could provide a substantial competitive edge. This paper explores using alternative data…
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
Demand estimation plays an important role in dynamic pricing where the optimal price can be obtained via maximizing the revenue based on the demand curve. In online hotel booking platform, the demand or occupancy of rooms varies across…
One of the pillars to build a country's economy is the stock market. Over the years, people are investing in stock markets to earn as much profit as possible from the amount of money that they possess. Hence, it is vital to have a…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
In a fixed time horizon, appropriately executing a large amount of a particular asset -- meaning a considerable portion of the volume traded within this frame -- is challenging. Especially for illiquid or even highly liquid but also highly…
The relationship between demand and prices of a set of products can be modeled as a linear mapping from logarithmic price changes to logarithmic changes in demand. We consider the problem of estimating the coefficient matrix of this…