Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Chaos analysis of real estate auction sale price rate time series

부동산 경매 낙찰가율 시계열의 Chaos 분석

  • Kang, Jun (Division of Investment Information Engineering, Yonsei University) ;
  • Kim, Jiwoo (Department of Industrial Engineering, Yonsei University) ;
  • Lee, Hyun Jun (Department of Industrial Engineering, Yonsei University) ;
  • Oh, Kyong Joo (Department of Industrial Engineering, Yonsei University)
  • 강준 (연세대학교 투자정보공학) ;
  • 김지우 (연세대학교 산업공학과) ;
  • 이현준 (연세대학교 산업공학과) ;
  • 오경주 (연세대학교 산업공학과)
  • Received : 2017.02.27
  • Accepted : 2017.03.24
  • Published : 2017.03.31
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Abstract

There has never been research on Chaos analysis using real estate auction sale price rate in Korea. In this study, three Chaos analysis methodologies - Hurst exponent, correlation dimension, and maximum Lyapunov exponent - in order to capture the nonlinear deterministic dynamic system characteristics. High level of Hurst exponent and the extremely low maximum Lyapunov exponent provide the tendency and the persistence of the data. The empirical results give two meaningful facts. First, monthly time lags of the correlation dimension are coincident with the time period from the approval auction start day to the sale price fixing day. Second, its weekly time lags correspond to the time period from the last day of request for sale price allocation to the sale price fixing day. Then, this study potentially examines the predictability of the real estate auction price rate time series.

국내에서 부동산 경매 낙찰가율 데이터를 활용한 Chaos 분석 연구는 전무하다. 부동산 경매분야의 데이터가 충분히 누적됨에 따라 부동산 경매 낙찰가율 시계열 분석의 의미가 커지게 되었다. 본 연구에서는 Hurst 지수, 상관차원, maximum Lyapunov 지수, 이 3가지 Chaos 분석기법을 활용하여 낙찰가율의 비선형 결정론적 동역학계적 특성을 확인하고, Chaos 분석을 통하여 얻은 결과와 실무 데이터를 비교하여, 함의를 도출한다. 높은 Hurst 지수에 따르는 추세와, maximum Lyapunov 지수의 측정을 통한 지속성, 그리고 상관차원 분석의 결과에 따라 time lag가 개시결정일에서 낙찰일, 배당요구종기일에서 낙찰일까지와 일치하는 점으로부터, Chaos 분석이 낙찰가율의 움직임을 예측하는데 유용함을 확인할 수 있었다.

Keywords

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