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...
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Veröffentlicht in: | New mathematics and natural computation 2020-11, Vol.16 (3), p.645-655 |
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Sprache: | eng |
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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. |
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ISSN: | 1793-0057 1793-7027 |
DOI: | 10.1142/S1793005720500398 |