在线市场产品价格的统计分析
A statistical analysis of product prices in online markets
摘要：
我们通过使用从日本价格比较网站收集的逐点价格数据，实证研究了在线市场中产品价格的波动，并发现了产品价格和资产价格之间的一些相似性和差异。电子零售商之间产品的平均价格表现得几乎像随机游走，尽管价格上涨/下跌的概率在价格上涨/下跌的多个事件的条件下更高。这与以前关于资产价格的研究报告的属性非常相似。然而，我们没有发现产品价格变化的波动具有长记忆性。此外，我们发现，产品价格的价格变化分布是接近指数分布，而不是幂律分布。这两个发现与以前关于资产价格的结果形成鲜明对比。我们提出了一个解释，这些差异可能源于产品市场的投机活动的情况下，即，电子零售商很少重复购买和出售的产品，不像在资产市场的交易者。
英文摘要：
We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The average price of a product across e-retailers behaves almost like a random walk, although the probability of price increase/decrease is higher conditional on the multiple events of price increase/decrease. This is quite similar to the property reported by previous studies about asset prices. However, we fail to find a long memory property in the volatility of product price changes. Also, we find that the price change distribution for product prices is close to an exponential distribution, rather than a power law distribution. These two findings are in a sharp contrast with the previous results regarding asset prices. We propose an interpretation that these differences may stem from the absence of speculative activities in product markets; namely, e-retailers seldom repeat buy and sell of a product, unlike traders in asset markets.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
