Scaling of the Price Fluctuation in the Korean Housing Market

We study the scaling of the price fluctuation in the Korean housing market. From the numerical analysis, we show that the normalized return distribution of the housing price, P(r), has a fat-tail and is well approximated by a power-law, P(r) ~ r^−(α+1), with α ≃ 3 for the whole data set. However, if we divide the data into groups based on the trading patterns, then the value of α for positive tail and negative tail can be different depending on the trading patterns. We also find that the autocorrelation function of the housing price decays much slower than that of the stock exchange markets, which shows a unique feature of the housing market distinguished from the other financial systems.