Abstract
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.
Similar content being viewed by others
References
B. Mandelbrot, Journal of Business XXXVI, 392 (1963)
B. Mandelbrot, H.M. Taylor, Operations Research 15, 1057 (1967)
R.N. Mantegna, H.E. Stanley, Nature 376, 46 (1995)
D. Zajdenweber, Revue d’Economie Politique 104, 408 (1994)
U.A. Muller, M. Dacorogna, R. Olsen, O.V. Pictet, M. Schwarz, C. Morgenegg, J. Bank. Fin. 14, 1189 (1990)
H. Takayasu, M. Takayasu, M.P. Okazaki, K. Marumo, T. Shimizu, Fractal properties in economics, in Paradigms of Complexity, World Scientific (2000), edited by M.M. Novak, pp. 243-258
T. Mizuno, S. Kurihara, M. Takayasu, H. Takayasu, Physica A 324, 296 (2003)
R.N. Mantegna, H.E. Stanley, An Introduction to Econophysics: Correlation and Complexity in Finance (Cambridge University Press, Cambridge, MA, 2000)
E. Scalas, Physica A 253, 394 (1998)
A.A. Tsonis, F. Heller, H. Takayasu, K. Marumo, T. Shimizu, Physica A 291, 574 (2001)
T. Ohira, N. Sazuka, K. Marumo, T. Shimizu, M. Takayasu, H. Takayasu, Physica A 308, 368 (2002)
T. Mizuno, M. Takayasu, The statistical relationship between product life cycle and repeat purchase behavior in convenience stores, Progress of Theoretical Physics (in press)
M. Wyart, J.-P. Bouchaud, J. Kockelkoren, M. Potters, M. Vettorazzo, Quant. Fin. 8, 41 (2008)
Author information
Authors and Affiliations
Corresponding authors
Rights and permissions
About this article
Cite this article
Mizuno, T., Watanabe, T. A statistical analysis of product prices in online markets. Eur. Phys. J. B 76, 501–505 (2010). https://doi.org/10.1140/epjb/e2009-00439-1
Received:
Revised:
Published:
Issue Date:
DOI: https://doi.org/10.1140/epjb/e2009-00439-1