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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| creator | Yam, Wun Kwan Fong, Kin Long Wang, Juntao Cheong, Siew Ann Michael Wong, K. Y. |
| description | 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. |
| doi_str_mv | 10.1142/S1793005720500398 |
| format | Article |
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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.</description><identifier>ISSN: 1793-0057</identifier><identifier>EISSN: 1793-7027</identifier><identifier>DOI: 10.1142/S1793005720500398</identifier><language>eng</language><publisher>Singapore: World Scientific Publishing Company</publisher><subject>Covariance ; Gaussian process ; Housing ; Kernel functions ; Periodic variations ; Prediction models</subject><ispartof>New mathematics and natural computation, 2020-11, Vol.16 (3), p.645-655</ispartof><rights>2020, The Author(s)</rights><rights>2020. The Author(s). This is an Open Access article published by World Scientific Publishing Company. 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| subjects | Covariance Gaussian process Housing Kernel functions Periodic variations Prediction models |
| title | Intrinsic Quasi-Periodicity in Hong Kong Housing Price and Its Prediction |
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