Housing Market Microstructure

Details Housing Market Microstructure Housing Market Microstructure

2009-07-10

arxiv.org/abs/0907.1853v1

Economy

Quantitative Finance

Trading and Market Microstructure

This paper was presented in part at INFORMS 2007 Annual Meeting, Bachelier Finance Society 2008, and AREUEA 2008. It was among

Scientific paper

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 optimal sale decisions, we simulate the implied evolution of housing prices providing insights into the recent subprime lending crisis.

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