Intrinsic Quasi-Periodicity in Hong Kong Housing Price and Its Prediction

Housing price time series is worth studying as it is closely related to the well-being of society. In the Hong Kong housing market from 1992 to 2010, signs of quasi-periodicity in housing price and transaction volume can be observed. We find that there is an overall periodicity of approximately 30 m...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:New mathematics and natural computation 2020-11, Vol.16 (3), p.645-655
Hauptverfasser: Yam, Wun Kwan, Fong, Kin Long, Wang, Juntao, Cheong, Siew Ann, Michael Wong, K. Y.
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext bestellen
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Housing price time series is worth studying as it is closely related to the well-being of society. In the Hong Kong housing market from 1992 to 2010, signs of quasi-periodicity in housing price and transaction volume can be observed. We find that there is an overall periodicity of approximately 30 months in housing price changes and a strong lead–lag relationship between housing price and transaction volume. Analysis of the cross-covariance of the housing price, transaction volume and prime lending rate reveals that this quasi-periodicity is potentially driven by prime lending rates. Incorporation of quasi-periodicity into the kernel of Gaussian processes further enables us to construct a predictive model of the Hong Kong housing price trends that outperforms other traditional kernel functions.
ISSN:1793-0057
1793-7027
DOI:10.1142/S1793005720500398