Related papers: Real estate price peaks: a comparative overview
In Part III of this study, we apply the price dynamical model with big buyers and big sellers developed in Part I of this paper to the daily closing prices of the top 20 banking and real estate stocks listed in the Hong Kong Stock Exchange.…
An epoch of accelerated expansion, or inflation, in the early universe solves several cosmological problems. While there are many models of inflation only recently has it become possible to discriminate between some of the models using…
We study housing markets as introduced by Shapley and Scarf (1974). We investigate the computational complexity of various questions regarding the situation of an agent $a$ in a housing market $H$: we show that it is $\mathsf{NP}$-hard to…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
This paper investigates the determinants of home prices in Dana Point, California to analyze various factors influencing the real estate market. The results are based on a cross-sectional dataset that incorporates year and month-time…
It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
The first part of this paper is a brief survey of the approaches to economic inequality based on ideas from statistical physics and kinetic theory. These include the Boltzmann kinetic equation, the time-reversal symmetry, the ergodicity…
We study the most famous example of a large financial market: the Arbitrage Pricing Model, where investors can trade in a one-period setting with countably many assets admitting a factor structure. We consider the problem of maximising…
The primary objective of this paper was to investigate whether the growth in the major US asset indices could be a function of the US broad money supply and/or US GDP, over the time period 2001 to 2019, using an information entropy…
We present an analysis of oil prices in US$ and in other major currencies that diagnoses unsustainable faster-than-exponential behavior. This supports the hypothesis that the recent oil price run-up has been amplified by speculative…
An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
The standard asset pricing models (the CCAPM and the Epstein-Zin non-expected utility model) counterintuitively predict that equilibrium asset prices can rise if the representative agent's risk aversion increases. If the income effect,…
Segregation is a growing concern around the world. One of its main manifestations is the creation of ghettos, whose inhabitants have difficult access to well-paid jobs, which are often located far from their homes. In order to study this…
We show that a simple model of a spatially resolved evolving economic system, which has a steady state under simultaneous updating, shows stable oscillations in price when updated asynchronously. The oscillations arise from a gradual…
The relationship between housing costs and homelessness has important implications for the way that city and county governments respond to increasing homeless populations. Though many analyses in the public policy literature have examined…
We present a general equilibrium macro-finance model with a positive feedback loop between capital investment and land price. As leverage is relaxed beyond a critical value, through the financial accelerator, a phase transition occurs from…
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…