House Prices as a Result of Trading Activities: A Patient Trader Model

Ralf Korn () and Bilgi Yilmaz ()
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Ralf Korn: TU Kaiserslautern
Bilgi Yilmaz: Middle East Teachnical University

Computational Economics, 2022, vol. 60, issue 1, No 11, 303 pages

Abstract: Abstract 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.

Keywords: Patient trader; Housing market; Quantile process (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10614-021-10149-y

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