Show/Hide Menu
Hide/Show Apps
Logout
Türkçe
Türkçe
Search
Search
Login
Login
OpenMETU
OpenMETU
About
About
Open Science Policy
Open Science Policy
Communities & Collections
Communities & Collections
Help
Help
Frequently Asked Questions
Frequently Asked Questions
Guides
Guides
Thesis submission
Thesis submission
MS without thesis term project submission
MS without thesis term project submission
Publication submission with DOI
Publication submission with DOI
Publication submission
Publication submission
Supporting Information
Supporting Information
General Information
General Information
Copyright, Embargo and License
Copyright, Embargo and License
Contact us
Contact us
House Prices as a Result of Trading Activities: A Patient Trader Model
Date
2022-06-01
Author
Korn, Ralf
Yılmaz, Bilgi
Metadata
Show full item record
This work is licensed under a
Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
.
Item Usage Stats
63
views
0
downloads
Cite This
We present a new modeling approach for house price movements as a consequence of the trading behavior of market agents. In our modeling approach, all agents are assumed to assign a personal threshold value to a (standardized) house and update the threshold value permanently by a continuous-time filtering procedure based on observing the quoted house prices and the resulting price movements. The traders then trade according to a threshold price strategy (try to sell if the personal threshold value is lower, try to buy if the personal threshold value is higher than the actually quoted house price). Our modeling approach and its resulting characteristics are illustrated via numerical examples that highlight certain realistic constellations between various traders.
Subject Keywords
Patient trader
,
Housing market
,
Quantile process
,
MARKETS
,
DEFAULT
,
Housing market
,
Patient trader
,
Quantile process
URI
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85110407282&origin=inward
https://hdl.handle.net/11511/101639
Journal
Computational Economics
DOI
https://doi.org/10.1007/s10614-021-10149-y
Collections
Graduate School of Applied Mathematics, Article
Suggestions
OpenMETU
Core
The Impact of Macro-Economic Drivers in Housing Markets: The US Cas
Yılmaz, Bilgi; Yerlikaya Özkurt, Fatma; Kestel, Sevtap Ayşe (2021-08-01)
This paper analyzes the effect of macro-economic, financial and commodity market indicators on housing markets. We compare the efficiency of the models generated by Generalized Linear Models (GLM) and Multivariate Adaptive Regression Splines (MARS) according to method free measures for estimating the housing market trend. These models are used for the first time to identify the influence of macro-economic indicators on housing markets and the estimation of the trend in housing markets to our best knowledge....
Interim efficient auctions with interdependent valuations
Küçükşenel, Serkan (Springer Science and Business Media LLC, 2012-05-01)
We provide a characterization of interim efficient auctions and examine their properties in the presence of informational interdependent valuations. We show that buyers can be awarded the auctioned item less often than the efficient level. We also show that buyers obtain the item more often as the degree of heterogeneity in preferences increases, even though profitability of trade does not depend on the heterogeneity in preferences.
Originating long-term fixed-rate Mortgages in developing economies: New evidence from Turkey
Erol, Işıl; Çetinkaya, Özgenay (Orta Doğu Teknik Üniversitesi (Ankara, Turkey), 2009-12-1)
This paper intends to analyze the recent developments to introduce and integrate mortgage markets into capital markets of Turkey. The Capital Market Board has recently prepared a legal framework not only for a proper mortgage system, but also for the eventual securitization of these mortgages. Turkish banks started to contract, for the first time ever, long-term fixed rate mortgages. The paper uses traditional option-pricing model to evaluate the current 10-year fixed rate mortgage (FRM) contracts with embe...
Spread and basket option pricing in a Markov-modulated Levy framework with synchronous jumps
Deelstra, Griselda; Kozpınar, Sinem; Simon, Matthieu (2018-11-01)
This paper considers the evaluation of spread and basket options when the underlying asset prices are driven by Markov-modulated Levy processes with synchronous jumps. In particular, the asset prices may jump whenever there is a change of phase of the underlying Markov process. We further allow for dependence between the different price dynamics. In this general regime-switching framework, we provide lower and upper bounds to the exact option prices based upon ideas from the literature without regime switch...
Housing market dynamics and advances in mortgages: option based modeling and hedging
Yılmaz, Bilgi; Selçuk-Kestel, A. Sevtap,; Department of Financial Mathematics (2019)
In the last two decades, academicians and professionals intending to study in any area of real estate and finance not only must master advanced financial mathematics concepts and mathematical/econometric models but also should be able to implement those concepts computationally to improve real estate markets' efficiency. This comprehensive thesis mainly aims to combine the theory of financial mathematics with an emphasis on real-life applications in keeping with the way, both investors and policymakers, in ...
Citation Formats
IEEE
ACM
APA
CHICAGO
MLA
BibTeX
R. Korn and B. Yılmaz, “House Prices as a Result of Trading Activities: A Patient Trader Model,”
Computational Economics
, vol. 60, no. 1, pp. 281–303, 2022, Accessed: 00, 2023. [Online]. Available: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85110407282&origin=inward.