A Pricing Model for Urban Rental Housing Based on Convolutional Neural Networks and Spatial Density: A Case Study of Wuhan, China

With the development of urbanization and the expansion of floating populations, rental housing has become an increasingly common living choice for many people, and housing rental prices have attracted great attention from individuals, enterprises and the government. The housing rental prices are principally estimated based on structural, locational and neighborhood variables, among which the relationships are complicated and can hardly be captured entirely by simple one-dimensional models; in addition, the influence of the geographic objects on the price may vary with the increase in their quantities. However, existing pricing models usually take those structural, locational and neighborhood variables as one-dimensional inputs into neural networks, and often neglect the aggregated effects of geographical objects, which may lead to fluctuating rental price estimations. Therefore, this paper proposes a rental housing price model based on the convolutional neural network (CNN) and the synthetic spatial density of points of interest (POIs). The CNN can efficiently extract the complex characteristics among the relevant variables of housing, and the two-dimensional locational and neighborhood variables, based on the synthetic spatial density, effectively reflect the aggregated effects of the urban facilities on rental housing prices, thereby improving the accuracy of the model. Taking Wuhan, China, as the study area, the proposed method achieves satisfactory and accurate rental price estimations (coefficient of determination (R2) = 0.9097, root mean square error (RMSE) = 3.5126) in comparison with other commonly used pricing models.

Hierarchical Time-Varying Estimation of Asset Pricing Models

This paper presents a new hierarchical methodology for estimating multi factor dynamic asset pricing models. The approach is loosely based on the sequential Fama–MacBeth approach and developed in a kernel regression framework. However, the methodology uses a very flexible bandwidth selection method which is able to emphasize recent data and information to derive the most appropriate estimates of risk premia and factor loadings at each point in time. The choice of bandwidths and weighting schemes are achieved by a cross-validation procedure; this leads to consistent estimators of the risk premia and factor loadings. Additionally, an out-of-sample forecasting exercise indicates that the hierarchical method leads to a statistically significant improvement in forecast loss function measures, independently of the type of factor considered.

THE SEARCH FOR TIME-SERIES PREDICTABILITY-BASED ANOMALIES

This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully invested in a risky asset or in a risk-free asset, with the trading rule represented by a parametric perceptron. The optimal parameters are sought in-sample via differential evolution to directly maximize the alpha. Successively using two modern asset pricing models and two different portfolio weighting schemes, the algorithm was able to discover an undocumented anomaly in the United States stock market cross-section, both out-of-sample and using small transaction costs. The new algorithm represents a simple and flexible alternative to technical analysis and forecast-based trading rules, neither of which necessarily maximizes the alpha. This new algorithm was inspired by recent insights into representing reinforcement learning as evolutionary computation.

A price-aware congestion control protocol for cloud services

In current infrastructure-as-a service (IaaS) cloud services, customers are charged for the usage of computing/storage resources only, but not the network resource. The difficulty lies in the fact that it is nontrivial to allocate network resource to individual customers effectively, especially for short-lived flows, in terms of both performance and cost, due to highly dynamic environments by flows generated by all customers. To tackle this challenge, in this paper, we propose an end-to-end Price-Aware Congestion Control Protocol (PACCP) for cloud services. PACCP is a network utility maximization (NUM) based optimal congestion control protocol. It supports three different classes of services (CoSes), i.e., best effort service (BE), differentiated service (DS), and minimum rate guaranteed (MRG) service. In PACCP, the desired CoS or rate allocation for a given flow is enabled by properly setting a pair of control parameters, i.e., a minimum guaranteed rate and a utility weight, which in turn, determines the price paid by the user of the flow. Two pricing models, i.e., a coarse-grained VM-Based Pricing model (VBP) and a fine-grained Flow-Based Pricing model (FBP), are proposed. The optimality of PACCP is verified by both large scale simulation and small testbed implementation. The price-performance consistency of PACCP are evaluated using real datacenter workloads. The results demonstrate that PACCP provides minimum rate guarantee, high bandwidth utilization and fair rate allocation, commensurate with the pricing models.

A new class of multidimensional Wishart-based hybrid models

In this article, we present a new class of pricing models that extend the application of Wishart processes to the so-called stochastic local volatility (or hybrid) pricing paradigm. This approach combines the advantages of local and stochastic volatility models. Despite the growing interest on the topic, however, it seems that no particular attention has been paid to the use of multidimensional specifications for the stochastic volatility component. Our work tries to fill the gap: we introduce two hybrid models in which the stochastic volatility dynamics is described by means of a Wishart process. The proposed parametrizations not only preserve the desirable features of existing Wishart-based models but significantly enhance the ability of reproducing market prices of vanilla options.