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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 proceeding › Conference contribution › Research › peer-review

Harvard

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, Rome, Italy, 26/01/17. https://doi.org/10.1063/1.4982027

APA

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

Vancouver

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

Author

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.

BibTeX

@inproceedings{136ed485d34f47f4a84894bde277d563,
title = "A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes",
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.",
keywords = "Double Stochastic Poisson Process, dynamics of prices in real estate markets, Gamma L{\'e}vy process, random intensity",
author = "Oleg Rusakov and Michael Laskin",
year = "2017",
month = jun,
day = "5",
doi = "10.1063/1.4982027",
language = "English",
volume = "1836",
booktitle = "Applied Mathematics and Computer Science",
publisher = "American Institute of Physics",
address = "United States",
note = "1st International Conference on Applied Mathematics and Computer Science, ICAMCS 2017 ; Conference date: 26-01-2017 Through 28-01-2017",

}

RIS

TY - GEN

T1 - A stochastic model for stationary dynamics of prices in real estate markets. A case of random intensity for Poisson moments of prices changes

AU - Rusakov, Oleg

AU - Laskin, Michael

PY - 2017/6/5

Y1 - 2017/6/5

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.

KW - Double Stochastic Poisson Process

KW - dynamics of prices in real estate markets

KW - Gamma Lévy process

KW - random intensity

UR - http://www.scopus.com/inward/record.url?scp=85021372216&partnerID=8YFLogxK

U2 - 10.1063/1.4982027

DO - 10.1063/1.4982027

M3 - Conference contribution

AN - SCOPUS:85021372216

VL - 1836

BT - Applied Mathematics and Computer Science

PB - American Institute of Physics

T2 - 1st International Conference on Applied Mathematics and Computer Science

Y2 - 26 January 2017 through 28 January 2017

ER -

ID: 15543563