Eur. Phys. J. B 76, 501-505 (2010)
https://doi.org/10.1140/epjb/e2009-00439-1

A statistical analysis of product prices in online markets

¹ Institute of Economic Research, Hitotsubashi University, Kunitachi, Tokyo, 186-8603, Japan
² Hitotsubashi University and Canon Institute for Global Studies, Tokyo, 186-8603, Japan

Corresponding authors: ^a mizuno@ier.hit-u.ac.jp - ^b tsutomu.w@srv.cc.hit-u.ac.jp

Received: 5 July 2009
Revised: 30 October 2009
Published online: 31 December 2009

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.