Intrinsic Quasi-Periodicity in Hong Kong Housing Price and Its Prediction

Wun Kwan Yam, Kin Long Fong, Juntao Wang, Siew Ann Cheong and K. Y. Michael Wong
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Wun Kwan Yam: The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, P. R. China
Kin Long Fong: The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, P. R. China
Juntao Wang: The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, P. R. China
Siew Ann Cheong: #x2020;Division of Physics and Applied Physics, Nanyang Technological University, Singapore 637371, Singapore
K. Y. Michael Wong: The Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong, P. R. China

New Mathematics and Natural Computation (NMNC), 2020, vol. 16, issue 03, 645-655

Abstract: Housing price time series is worth studying as it is closely related to the well-being of society. In the Hong Kong housing market from 1992 to 2010, signs of quasi-periodicity in housing price and transaction volume can be observed. We find that there is an overall periodicity of approximately 30 months in housing price changes and a strong lead–lag relationship between housing price and transaction volume. Analysis of the cross-covariance of the housing price, transaction volume and prime lending rate reveals that this quasi-periodicity is potentially driven by prime lending rates. Incorporation of quasi-periodicity into the kernel of Gaussian processes further enables us to construct a predictive model of the Hong Kong housing price trends that outperforms other traditional kernel functions.

Keywords: Housing price periodicity; Gaussian process; housing price prediction (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1142/S1793005720500398

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