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

Author

Listed:
  • 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)

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.

Suggested Citation

  • Wun Kwan Yam & Kin Long Fong & Juntao Wang & Siew Ann Cheong & K. Y. Michael Wong, 2020. "Intrinsic Quasi-Periodicity in Hong Kong Housing Price and Its Prediction," New Mathematics and Natural Computation (NMNC), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 645-655, November.
    • Handle: RePEc:wsi:nmncxx:v:16:y:2020:i:03:n:s1793005720500398
    DOI: 10.1142/S1793005720500398
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