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

Результат исследований: Публикации в книгах, отчётах, сборниках, трудах конференцийстатья в сборнике материалов конференции

1 цитирование (Scopus)

Выдержка

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.

Язык оригиналаанглийский
Название основной публикацииApplied Mathematics and Computer Science
Подзаголовок основной публикацииProceedings of the 1st International Conference on Applied Mathematics and Computer Science
ИздательAmerican Institute of Physics
Том1836
ISBN (электронное издание)9780735415065
DOI
СостояниеОпубликовано - 5 июн 2017
Событие1st International Conference on Applied Mathematics and Computer Science, ICAMCS 2017 - Rome, Италия
Продолжительность: 26 янв 201728 янв 2017

Конференция

Конференция1st International Conference on Applied Mathematics and Computer Science, ICAMCS 2017
СтранаИталия
ГородRome
Период26/01/1728/01/17

Отпечаток

Stochastic Model
Siméon Denis Poisson
Moment
moments
martingales
Cox Process
poisson process
random processes
Point Process
Random process
Poisson process
Martingale
Jump
Calculate
output
Output
Market
Real estate market
Stochastic model
Price changes

Предметные области Scopus

  • Физика и астрономия (все)
  • Математика (все)
  • Теория принятия решений (все)

Цитировать

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. В Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science (Том 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. Том 1836 American Institute of Physics, 2017.
@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 = "6",
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",

}

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. в Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science. том. 1836, 020087, American Institute of Physics, Rome, Италия, 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. Том 1836 American Institute of Physics, 2017. 020087.

Результат исследований: Публикации в книгах, отчётах, сборниках, трудах конференцийстатья в сборнике материалов конференции

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

ER -

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. В Applied Mathematics and Computer Science: Proceedings of the 1st International Conference on Applied Mathematics and Computer Science. Том 1836. American Institute of Physics. 2017. 020087 https://doi.org/10.1063/1.4982027