Pricing in the real estate market as a stochastic limit. Log normal approximation

Переведенное название: Ценообразование на рынке недвижимости, как стохастический предел: Лог-нормальное приближение

Результат исследований: Научные публикации в периодических изданияхстатья

Выдержка

Мы конструируем стохастическую модель ценообразования на рынке недвижимисти. Метод ценообразования основывается на последовательном сравнении рыночных цен предложений. Мы показываем, что при стандартных предположениях, наложенных на коэффициенты сравнения, существует единственный невырожденный предел по распределению, и этот предел имеет лог-нормальный закон распределения. Соответствие эмпирических распределений теоретически найденному лог-нормальному распределению мы верифицируем статистическими данными рынка недвижимости Санкт-Петербурга (Россия). Для установления этого соответствия мы существенно применяем чувствительный критерий согласия Колмогорова-Смирнова. Основываясь на принятом в мире стандарте оценки цены объекта недвижимости, мы заключаем, что наиболее вероятная цена - мода распределения корректно и однозначно определена при лог-нормальной аппроксимации. Так как среднее значение лог-нормального распределения превосходит моду (наиболее вероятное значение), то из этого следует, что цены, являющиеся оценкой математического ожидания путем вычисления выборочного среднего, систематически завышены.
Язык оригиналаанглийский
Страницы (с-по)229-236
Число страниц8
ЖурналInternational Journal of Mathematical Models and Methods in Applied Sciences
Том10
СостояниеОпубликовано - 2016

Отпечаток

Normal Approximation
Normal distribution
Pricing
Stochastic models
Costs
Log Normal Distribution
Probable
Kolmogorov-Smirnov
Empirical Distribution
Mean Value
Stochastic Model
Market
Exceed
Union
Verify
Coefficient

Цитировать

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title = "Pricing in the real estate market as a stochastic limit.: Log normal approximation",
abstract = "We construct a stochastic model of real estate pricing. The method of the pricing construction is based on a sequential comparison of the supply prices. We proof that under standard assumptions imposed upon the comparison coefficients there exists an unique non-degenerated limit in distribution and this limit has the Log Normal law of distribution. The accordance of empirical distributions of prices to the theoretically obtained Log Normal distribution we verify by numerous statistical data of real estate prices from Saint-Petersburg (Russia). For establishing this accordance we essentially apply the efficient and sensitive test of fit of Kolmogorov-Smirnov. Basing on the world admitted standard of estimation prices in real estate market, we conclude that the most probable price, i.e. mode of distribution, is correctly and uniquely determined under the Log Normal approximation. Since the mean value of Log Normal distribution exceeds the mode - most probable value, it follows that the prices valued by the mathematical expectation are systematically overstated. {\circledC} 2016, North Atlantic University Union NAUN. All rights reserved.",
keywords = "Applications of the Kolmogorov-Smirnov test of fit , Geometric Brownian motion , Real estate market value, Sharpe parameter, Stochastic model of pricing",
author = "Русаков, {Олег Витальевич}",
year = "2016",
language = "English",
volume = "10",
pages = "229--236",
journal = "International Journal of Mathematical Models and Methods in Applied Sciences",
issn = "1998-0140",
publisher = "North Atlantic University Union NAUN",

}

Pricing in the real estate market as a stochastic limit. Log normal approximation. / Русаков, Олег Витальевич.

В: International Journal of Mathematical Models and Methods in Applied Sciences, Том 10, 2016, стр. 229-236.

Результат исследований: Научные публикации в периодических изданияхстатья

TY - JOUR

T1 - Pricing in the real estate market as a stochastic limit.

T2 - Log normal approximation

AU - Русаков, Олег Витальевич

PY - 2016

Y1 - 2016

N2 - We construct a stochastic model of real estate pricing. The method of the pricing construction is based on a sequential comparison of the supply prices. We proof that under standard assumptions imposed upon the comparison coefficients there exists an unique non-degenerated limit in distribution and this limit has the Log Normal law of distribution. The accordance of empirical distributions of prices to the theoretically obtained Log Normal distribution we verify by numerous statistical data of real estate prices from Saint-Petersburg (Russia). For establishing this accordance we essentially apply the efficient and sensitive test of fit of Kolmogorov-Smirnov. Basing on the world admitted standard of estimation prices in real estate market, we conclude that the most probable price, i.e. mode of distribution, is correctly and uniquely determined under the Log Normal approximation. Since the mean value of Log Normal distribution exceeds the mode - most probable value, it follows that the prices valued by the mathematical expectation are systematically overstated. © 2016, North Atlantic University Union NAUN. All rights reserved.

AB - We construct a stochastic model of real estate pricing. The method of the pricing construction is based on a sequential comparison of the supply prices. We proof that under standard assumptions imposed upon the comparison coefficients there exists an unique non-degenerated limit in distribution and this limit has the Log Normal law of distribution. The accordance of empirical distributions of prices to the theoretically obtained Log Normal distribution we verify by numerous statistical data of real estate prices from Saint-Petersburg (Russia). For establishing this accordance we essentially apply the efficient and sensitive test of fit of Kolmogorov-Smirnov. Basing on the world admitted standard of estimation prices in real estate market, we conclude that the most probable price, i.e. mode of distribution, is correctly and uniquely determined under the Log Normal approximation. Since the mean value of Log Normal distribution exceeds the mode - most probable value, it follows that the prices valued by the mathematical expectation are systematically overstated. © 2016, North Atlantic University Union NAUN. All rights reserved.

KW - Applications of the Kolmogorov-Smirnov test of fit

KW - Geometric Brownian motion

KW - Real estate market value

KW - Sharpe parameter

KW - Stochastic model of pricing

M3 - Article

VL - 10

SP - 229

EP - 236

JO - International Journal of Mathematical Models and Methods in Applied Sciences

JF - International Journal of Mathematical Models and Methods in Applied Sciences

SN - 1998-0140

ER -