Research Of House Price Based On Jump Diffusion Model

Real estate is the important pillar industry in China, but overheated or depressed real estate industry will influence the stability and growth of economy, which will not be conducive to the healthy development of the national economy. In face of the continuous inflation and the burst of the bubbles in this industry, scholars from home and abroad are pursuing the facts that influence the price. However, most of those studies just stay on the basis of qualitative analysis, few of which are even based on the presumption of an ideal and stable market. In order to adapt to the intermittence, mutation of the macroeconomic environment and market, and explain the home price changes with jump. This paper will establish a house price jump diffusion model through empirical study.This paper begins with the fluctuation of the house price and induces the fundamentals of it. Then, there will be a conclusion of the risks which cause the fluctuation. The unsystematic risks in house price in China which is the reason for the jump will be the base of my study.When using the jump diffusion model, first comprehensive consideration about the house price and analysis about whether the presumption of the model is true will be considered. Whether it is rational that house price is compliant with jump diffusion model will be proved. The jump in double exponential jump diffusion model is compliant with double exponential distribution which has non-symmetrical features, so we can use double exponential jump diffusion model. Then, there will be a discussion about the statistical characteristics of this model, and an induction of the Bayesian method which estimates the double exponential jump diffusion model. Likelihood of the discredited Process will be used as the approximate Posterior likelihood, and the validity and applicability will be analysised.The empirical study horizontally compares the intensity of the jump in the house price index of different kinds of houses in different countries or provinces from the macro level. The data from USA, UK, HK, and China main land is used to compare the jump of the different houses. Then, Hangzhou will be studied as a micro subject to achieve a vertical research. The second-hand housing transaction data of some typical communities in Hangzhou during a period of time will be studied to estimate the parameters, and the concrete causes of the jump will be found out to judge whether policies are effective. The result shows that the jump diffusion model is a rational measurement for the intensity of jump in house price caused by unsystematic risks. The model is rational and applicable.