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Diffusive Nature of Housing Prices

Author

Listed:
  • Antoine-Cyrus Becharat

    (LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Michael Benzaquen

    (LadHyX - Laboratoire d'hydrodynamique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique)

  • Jean-Philippe Bouchaud

    (Académie des sciences [Paris, France], CFM - Capital Fund Management, X - École polytechnique - IP Paris - Institut Polytechnique de Paris)

Abstract

We analyze the French housing market prices in the period 1970-2022, with high-resolution data from 2018 to 2022. The spatial correlation of the observed price field exhibits logarithmic decay characteristic of the twodimensional random diffusion equationlocal interactions may create long-range correlations. We introduce a stylized model, used in the past to model spatial regularities in voting patterns, that accounts for both spatial and temporal correlations with reasonable values of parameters, some fitted on impulse response data. Our analysis reveals that price shocks are persistent in time and their amplitude is strongly heterogeneous in space. Our study quantifies the diffusive nature of housing prices that was anticipated long ago [1, 2], albeit on much restricted, local data sets.

Suggested Citation

  • Antoine-Cyrus Becharat & Michael Benzaquen & Jean-Philippe Bouchaud, 2025. "Diffusive Nature of Housing Prices," Post-Print hal-05273330, HAL.
    • Handle: RePEc:hal:journl:hal-05273330
    DOI: 10.1103/f4vr-xdny
    Note: View the original document on HAL open archive server: https://hal.science/hal-05273330v1
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