Composite property price index forecasting with neural networks

Abstract

PurposeThe Chinese housing market has gone through rapid growth during the past decade, and house price forecasting has evolved to be a significant issue that draws enormous attention from investors, policy makers and researchers. This study investigates neural networks for composite property price index forecasting from ten major Chinese cities for the period of July 2005–April 2021.Design/methodology/approachThe goal is to build simple and accurate neural network models that contribute to pure technical forecasts of composite property prices. To facilitate the analysis, the authors consider different model settings across algorithms, delays, hidden neurons and data spitting ratios.FindingsThe authors arrive at a pretty simple neural network with six delays and three hidden neurons, which generates rather stable performance of average relative root mean square errors across the ten cities below 1% for the training, validation and testing phases.Originality/valueResults here could be utilized on a standalone basis or combined with fundamental forecasts to help form perspectives of composite property price trends and conduct policy analysis.

Contemporaneous causality among price indices of ten major steel products

“…https://orcid.org/0000-0002-4452-1540 Notes a. In addition, we applied the BDS test 71 to the 10 steel price series and found that the p-values of the tests are all almost zero based on embedding dimensions of 2-10 and ϵ (distance used to test proximity of data points) values of 0.5, 1.0, 1.5, 2.0, 2.5 and 3.0 times the price series standard deviation, [72][73][74][75][76][77][78][79] indicating some non-linear patterns as found in many different commodity prices. 80-85 b. p = 10 and X t = (X 1,t X 2,t X 3,t X 4,t X 5,t X 6,t X 7,t X 8,t X 9,t X 10,t ) ′ in our example, where X 1,t , X 2,t , X 3,t , X 4,t , X 5,t , X 6,t , X 7,t , X 8,t , X 9,t and X 10,t are related to prices of the rebar, steel wire, plate, hot rolled coil, cold rolled plate, galvannealed sheet, seamless tube, welded tube, section and narrow strip, respectively.…”