Information and Repeat-Sales
58 Pages Posted: 21 Jul 2007
Date Written: July 20, 2007
Abstract
What is the informational structure of the repeat-sales index? In this article we answer it, deconstructing the global index in its building blocks. As by-products of this reformulation we establish very simple and intuitive formulas for the volatility of the index and the reversibility phenomenon. We study the formal link between the repeat-sales index and the price indexes (median, hedonic . . . ). We introduce a methodology of data analysis that improves greatly the extraction of the information embedded in a dataset. At last, we give some elements for a more general theory of the informational repeat-sales indexes.
Keywords: repeat-sales index, information, algorithmic decomposition, volatility, reversibility
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