基于经验模态分解的房价周期波动实证分析

中国管理科学 ›› 2012, Vol. ›› Issue (3): 41-46.

基于经验模态分解的房价周期波动实证分析

阮连法, 包洪洁

浙江大学土木工程管理研究所, 浙江杭州 310058

收稿日期:2011-07-11 修回日期:2012-02-08 出版日期:2012-06-29 发布日期:2012-07-05
基金资助:
国家自然科学基金资助项目(40801057)

An Empirical Analysis on Periodic Fluctuations of Real Estate Price Based on EMD

RUAN Lian-fa, BAO Hong-jie

Institute of Construction Management, Zhejiang University, Hangzhou 310058, China

Received:2011-07-11 Revised:2012-02-08 Online:2012-06-29 Published:2012-07-05

摘要/Abstract

摘要： 房地产市场是一个复杂的系统,房价是多种因素共同作用下最终的表现形式。经验模态分解方法是处理非平稳、非线性序列的有效工具,将其运用于房价分析,可以从房价时间序列自身出发揭示内在特征。以杭州市过去四年新建商品住宅交易的周度价格数据为例,对其分解,再根据本征模态函数的特征进行重组。研究表明:房价时间序列由经济基本面决定的长期趋势、金融危机等重大事件带来的低频振动和短期市场不均衡导致的随机波动三方面构成,为短期房价预测提供了思路。杭州市商品住宅市场存在3年的大周期,14个月和7个月的小周期。

关键词: 经验模态分解, 房价分析, 周期波动, 复杂系统, 房价预测

Abstract: Real estate price is formed in the circumstance of many factors since real estate market is a complex system. Empirical mode decomposition, an effective tool to deal with nonlinear and non-stationary data, is applied to analyze the time series of real estate price and reveal inherent characteristics. Weekly price series of the new residential housing traded in Hangzhou during the last four years is decomposed, and six intrinsic mode functions and one residue are obtained. The six IMFs are reorganized according to their characteristics. It is concluded that the time series of real estate price are constituted by three parts, i.e., long-term trend determined by economic fundamentals, low frequency vibration brought by major events, and random fluctuations caused by short-term market disequilibrium. Besides, it is revealed that new residential housing market in Hangzhou has a large cycle of three-year and also small cycles of 14 months and 7 months.

Key words: empirical mode decomposition (EMD), housing price analysis, periodic fluctuations, complex system, housing price forecast

中图分类号:

F293. 30

阮连法, 包洪洁. 基于经验模态分解的房价周期波动实证分析 [J]. 中国管理科学, 2012, (3): 41-46.

RUAN Lian-fa, BAO Hong-jie. An Empirical Analysis on Periodic Fluctuations of Real Estate Price Based on EMD[J]. Chinese Journal of Management Science, 2012, (3): 41-46.

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