A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New measure predicts Dutch housing market downturns.
Study on efficiency of Dutch auctions on blockchains considering various parameters.
This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a multi-factor model of U.S. housing market integration. It then identifies statistical jumps in metrop…
The study models mortgage prepayment risk using stochastic housing market activity.
This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and post-boom housing markets. The paper specifies and tests a multi-factor housing asset pricing mode…
The latest global financial tsunami and its follow-up global economic recession has uncovered the crucial impact of housing markets on financial and economic systems. The Chinese stock market experienced a markedly fall during the global financial tsunami and China's economy has also slowed down by about 2\%-3\% when m…
Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US housing market (1975-2011) at the state level based on the Random Matrix Theory (RMT)…
Geographic diversification is fundamental to risk mitigation among investors and insurers of housing, mortgages, and mortgage-related derivatives. To characterize diversification potential, we provide estimates of integration, spatial correlation, and contagion among US metropolitan housing markets. Results reveal a hi…
Study shows how algorithmic prediction affects US housing market, reducing racial wealth disparities.
Spatial ABM predicts housing market trends in Sydney.
XGBoost outperforms other models in predicting housing prices.
Spatially weighted conformal prediction improves uncertainty quantification in house price models.
The real estate market is exposed to many fluctuations in prices because of existing correlations with many variables, some of which cannot be controlled or might even be unknown. Housing prices can increase rapidly (or in some cases, also drop very fast), yet the numerous listings available online where houses are sol…
We propose a novel multi-layered nonlinear model that is able to capture and predict the housing-demographic dynamics of the real-state market by simulating the transitions of owners among price-based house layers. This model allows us to determine which parameters are most effective to smoothen the severity of a poten…
Model explains herding and volatility in urban housing prices.
This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow…
Modeling house prices in Australia reveals supply limitations as the primary driver of extreme trends.
The paper introduces mortgage-rate-adjusted home prices to help buyers and adjust housing indices.
In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset, are considered. Maximizing their expected utility, home owners make optimal sale decisions given these changing market conditions. Using these opti…
We propose a simple probabilistic model to explain the spatial structure of the rent distribution of housing market in city of Sapporo. Here we modify the mathematical model proposed by Gauvin et. al. Especially, we consider the competition between two distances, namely, the distance between house and center, and the d…
Study shows houses appreciated more during pandemic due to speculation, not just price uncertainty.
In recent years, real estate industry has captured government and public attention around the world. The factors influencing the prices of real estate are diversified and complex. However, due to the limitations and one-sidedness of their respective views, they did not provide enough theoretical basis for the fluctuati…
Paper finds Dutch Draw optimal baseline for binary classification.
Understanding how housing values evolve over time is important to policy makers, consumers and real estate professionals. Existing methods for constructing housing indices are computed at a coarse spatial granularity, such as metropolitan regions, which can mask or distort price dynamics apparent in local markets, such…
Study shows how macroprudential policies affect credit growth in Israel, especially in housing and business sectors.
Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of early warning diagnosis tests are of critical importance. The recen…
Study shows house buyers in Christchurch value earthquake risk differently based on time since 2011 quake.
Improved negation detection in Dutch clinical texts using machine learning.
We consider a simple stochastic model of a urban rental housing market, in which the interaction of tenants and landlords induces rent fluctuations. We simulate the model numerically and measure the equilibrium rent distribution, which is found to be close to a lognormal law. We also study the influence of the density …
Study finds no consistent return predictability using payout ratios across 16 countries.
Machine learning models predict housing prices using macroeconomic factors.
The paper analyzes debt recycling strategies for mortgage repayment, revealing complex phases of success and failure.
This paper examines three independent explanatory variables and their relation with cost overrun in order to decide whether this is different for Dutch infrastructure projects compared to worldwide findings. The three independent variables are project type (road, rail, and fixed link projects), project size (measured i…
Inefficient markets allow investors to consistently outperform the market. To demonstrate that inefficiencies exist in sports betting markets, we created a betting algorithm that generates above market returns for the NFL, NBA, NCAAF, NCAAB, and WNBA betting markets. To formulate our betting strategy, we collected and …
This thesis evaluates text-based vs audio-based classification of mental health interviews.
The paper uses graph learning to detect valid instruments in high-dimensional data for house pricing.
Examines how extending home loan durations affects French households financially.
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to economics in general. The paper also discuses the consequences of the endogenous crea…
Solves the Sleeping Beauty problem as a 'thirder' using the Kelly Criterion.
Spectral analysis detects structural changes in financial networks.
GSNE improves house price predictions by embedding geo-spatial context.
West Frisian lemmatizer, POS tagger, and parser created.
Contemporary debates on filter bubbles and polarization in public and social media raise the question to what extent news media of the past exhibited biases. This paper specifically examines bias related to gender in six Dutch national newspapers between 1950 and 1990. We measure bias related to gender by comparing loc…
Analyzes national real estate investment risks and returns.
Satellite imagery improves house price prediction models.
Singapore's cooling measures did not increase housing wealth overall.
HabitatAgent offers a multi-agent system for transparent housing consultation.
Elevating houses to flood risk increases uncertainty, leading to higher optimal elevations.