A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes

Oleg Rusakov, Michael Laskin

Research output: Chapter in Book/Report/Conference proceedingConference contributionResearchpeer-review

1 Citation (Scopus)

Abstract

We consider a stochastic model of changes of prices in real estate markets. We suppose that in a book of prices the changes happen in points of jumps of a Poisson process with a random intensity, i.e. moments of changes sequently follow to a random process of the Cox process type. We calculate cumulative mathematical expectations and variances for the random intensity of this point process. In the case that the process of random intensity is a martingale the cumulative variance has a linear grows. We statistically process a number of observations of real estate prices and accept hypotheses of a linear grows for estimations as well for cumulative average, as for cumulative variance both for input and output prises that are writing in the book of prises.

Original languageEnglish
Title of host publicationApplied Mathematics and Computer Science
Subtitle of host publicationProceedings of the 1st International Conference on Applied Mathematics and Computer Science
PublisherAmerican Institute of Physics
Volume1836
ISBN (Electronic)9780735415065
DOIs
StatePublished - 5 Jun 2017
Event1st International Conference on Applied Mathematics and Computer Science, ICAMCS 2017 - Rome, Italy
Duration: 26 Jan 201728 Jan 2017

Conference

Conference1st International Conference on Applied Mathematics and Computer Science, ICAMCS 2017
CountryItaly
CityRome
Period26/01/1728/01/17

Keywords

  • Double Stochastic Poisson Process
  • dynamics of prices in real estate markets
  • Gamma Lévy process
  • random intensity

Scopus subject areas

  • Physics and Astronomy(all)
  • Mathematics(all)
  • Decision Sciences(all)

Cite this

Rusakov, O., & Laskin, M. (2017). A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes. In Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science (Vol. 1836). [020087] American Institute of Physics. https://doi.org/10.1063/1.4982027
Rusakov, Oleg ; Laskin, Michael. / A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes. Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science. Vol. 1836 American Institute of Physics, 2017.
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Rusakov, O & Laskin, M 2017, A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes. in Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science. vol. 1836, 020087, American Institute of Physics, 1st International Conference on Applied Mathematics and Computer Science, ICAMCS 2017, Rome, Italy, 26/01/17. https://doi.org/10.1063/1.4982027

A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes. / Rusakov, Oleg; Laskin, Michael.

Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science. Vol. 1836 American Institute of Physics, 2017. 020087.

Research output: Chapter in Book/Report/Conference proceedingConference contributionResearchpeer-review

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N2 - We consider a stochastic model of changes of prices in real estate markets. We suppose that in a book of prices the changes happen in points of jumps of a Poisson process with a random intensity, i.e. moments of changes sequently follow to a random process of the Cox process type. We calculate cumulative mathematical expectations and variances for the random intensity of this point process. In the case that the process of random intensity is a martingale the cumulative variance has a linear grows. We statistically process a number of observations of real estate prices and accept hypotheses of a linear grows for estimations as well for cumulative average, as for cumulative variance both for input and output prises that are writing in the book of prises.

AB - We consider a stochastic model of changes of prices in real estate markets. We suppose that in a book of prices the changes happen in points of jumps of a Poisson process with a random intensity, i.e. moments of changes sequently follow to a random process of the Cox process type. We calculate cumulative mathematical expectations and variances for the random intensity of this point process. In the case that the process of random intensity is a martingale the cumulative variance has a linear grows. We statistically process a number of observations of real estate prices and accept hypotheses of a linear grows for estimations as well for cumulative average, as for cumulative variance both for input and output prises that are writing in the book of prises.

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Rusakov O, Laskin M. A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes. In Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science. Vol. 1836. American Institute of Physics. 2017. 020087 https://doi.org/10.1063/1.4982027