I am looking for some reference on the art market in light of quantitative finance.

I am interested in some things:

The market in general, how is it compared to financial market ? What about common hypothesis like arbitrage opportunities, rationality of agents, risk-free asset..., the presence of derivatives ?

The formation of price, a lot of price come from auction houses. So the process of price formation is a bit different than a bid/ask process. Does this lead to different results in price modelisation ? Does this lead to different strategy ?

Prices dynamics, given one or multiple assets, are there specifical models for art prices ? (I suspect some trend by artist/by current).

Last but not least: sources do you know some sources for art prices ? theoretical papers about art prices ?


2 Answers 2


Art markets typically have huge transaction costs of the order of 10%, caused by buyers premium and auction fees. Therefore long holding periods are unavoidable, with long-term returns somewhere between those of bonds and equities. By its very nature, art is not easily replicated so arbitrage or derivatives are out. The rationality of agents (aka collectors) is probably open to debate.

The art market was a topic at the Inquire (Institute of Quantitative Investment Research) Europe Conference in Oct 2012, under "Investments of Passion". There was a presentation by Will Goetzmann titled Art and Money, by Steve Satchell on Stamps and Financial Investment and by Andrew Rudd on Investing in Rare Books. Art and Money contains evidence of the co-movement of art prices and stock markets, top incomes and changes in income inequality. Satchell and Rudd discuss valuation / price formation.

The slides of the presentations are available at Inquire Europe under Seminars > Istanbul 2012 > Papers at the Seminar


I would say the financial- and the art market is very different, only the roots of the market / auctions is the same.

As the art market is unique and very illiquid, alot of the strategies from the modern financial market simply does not apply.

I have been building (and still maintains) a toolbox of models, which mostly try to find trends based on multiple parameret sets eg.

  • Artist in combination with painting size and year/period.
  • Artist in combination with geographic location (entry and exit auctionhouse).
  • …and manny manny more…

Another great way to spot winners is to create a tag cloud for the paintings, the scanning algorithms mark as ‘possible interesting’. If you have done the same, for the paintings getting a result well above your avarage mean bound, it is possible to spot the paintings with the winning scenes eg. girl writing/painting/making homework in dim light.

As you (still) are almost sure the bids that are coming through the Internet and phone is by humans, it is possible to analyse the price hikes and bid delays, to detect a variety of auction tricks.

I have only been involved in public auction-only strategies, so I am not an expert in trading within the art dealer network.

If this subject is something you are deeply interested in, I have made a data collector for ArtPrice, which I can submit to Github, it is not perfect but a good place to start.

  • $\begingroup$ I am very interesed in the data colletcor. What langage do you use ? $\endgroup$ Aug 25, 2014 at 13:09
  • $\begingroup$ Due to ownership of the code, I am only able to release an early version made in PHP (using cURL). I will look into it, but bear with me, I might only have time to prepare the code in the weekend. $\endgroup$
    – chjortlund
    Aug 25, 2014 at 14:07

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