http://www.houseprices.uk.net/articl...ice_predictor/
The House Price Predictor
At HousePrices.uk.net we have developed a new housing market predictor that provides a robust and timely view of the UK housing market. It determines the current level of house prices and the rate of house price inflation by combining measures of both house prices and estimates of house price inflation (HPI) derived from the BoE mortgage approvals for house purchase figures along with projections from historical data.
Kalman Estimation
The state estimation X = (price, hpi) is done using a Kalman filter, and it avoids the problems caused by trying to measure small changes in noisy price data over short times. We think that the Kalman filter approach combining both price and HPI/approvals data is the best way to get an accurate and timely handle on what's happening in the housing market.
A useful feature is its ability to make good a priori estimates of the Halifax prices. Good short term predictions follow naturally by projecting the much more stable trends in the mortgage approval figures. Also included is the house price trajectory implied by the currrent buy & sell prices from financial spreadbetting data (Cantor Spreadfair, house price spreadbetting) and residential property derivatives trading (Tradition, Future HPI).
What does the learned collective think?
The House Price Predictor
At HousePrices.uk.net we have developed a new housing market predictor that provides a robust and timely view of the UK housing market. It determines the current level of house prices and the rate of house price inflation by combining measures of both house prices and estimates of house price inflation (HPI) derived from the BoE mortgage approvals for house purchase figures along with projections from historical data.
Kalman Estimation
The state estimation X = (price, hpi) is done using a Kalman filter, and it avoids the problems caused by trying to measure small changes in noisy price data over short times. We think that the Kalman filter approach combining both price and HPI/approvals data is the best way to get an accurate and timely handle on what's happening in the housing market.
A useful feature is its ability to make good a priori estimates of the Halifax prices. Good short term predictions follow naturally by projecting the much more stable trends in the mortgage approval figures. Also included is the house price trajectory implied by the currrent buy & sell prices from financial spreadbetting data (Cantor Spreadfair, house price spreadbetting) and residential property derivatives trading (Tradition, Future HPI).
What does the learned collective think?
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