John Fry

University of Hull · Department of Physics and Mathematics

Purpose We develop a Markov model of curling matches. This enables strategic and econometric analyses to be performed alongside computer simulation work. Design/methodology/approach We develop a Markov model of curling matches, parametrised by the probability of winning an end and the probability distribution of scoring ends. In practical applicat...

A binomial model for sports matches is developed making use of the maximum possible score $n$ in a game. In contrast to previous approaches the scores of the two teams are negatively correlated, abstracting from a scenario whereby teams cancel each other out. When $n$ is known, analytical results are possible via a Gaussian approximation. Model cal...

We explore the taxonomy of cryptocurrencies and integrate our analysis with traditional ways of understanding financial assets. We thus classify cryptocurrencies using the time series and distributional properties of returns. Cryptocurrencies appear inherently speculative in nature. The result is even more clear cut when time series measures of dis...

The pandemic has placed unprecedented pressures upon staff and students alike. Yet performance management of academics including Student Evaluation of Teaching (SET) persists. The American Association of University Professors (AAUP) has intervened on this issue. We develop new methods enabling better treatment of pandemic-era SET. Analysis of UK Na...

In this paper we investigate the predictability of cryptocurrency returns following increases in Covid-19 cases/deaths. We find that the rate of government intervention moderates the impact that Covid-19 cases/deaths have on cryptocurrency returns. We show that in periods of tightening government intervention, increases in Covid-19 cases positively...

Opinion polls play an important role in modern democratic processes: they are known to not only affect the outcomes of elections, but also have a significant influence on government policy after elections. Recent years have seen large discrepancies between polls and outcomes at several major elections and referendums, stemming from decreased partic...

The forecasting of cash inflows and outflows across multiple business operations plays an important role in the financial health of medium and large enterprises. Historically, this function was assigned to specialized treasury departments who projected future cash flows within different business units by processing available information on the expe...

Motivated by excessive managerial pressure and sackings, together with associated questions over the inefficient use of scarce resources, we explore realistic performance expectations in association football. Our aim is to improve management quality by accounting for information asymmetry. Results highlight uncertainty caused both by football's low...

We discuss the modelling of corporate bank accounts using a proprietary dataset. We thus offer a principled treatment of a genuine industrial problem. The corporate bank accounts in our study constitute spare, irregularly-spaced time series that may take both positive and negative values. We thus builds on previous models where the underlying is re...

Election forecasting errors appear chiefly due to the mode of extracting outcomes from the polled share of the vote

Amid much recent interest we discuss a Variance Gamma model for Rugby Union matches (applications to other sports are possible). Our model emerges as a special case of the recently introduced Gamma Difference distribution though there is a rich history of applied work using the Variance Gamma distribution-particularly in finance. Restricting to thi...

Purpose The authors develop new quantitative methods to estimate the level of speculation and long-term sustainability of Bitcoin and Blockchain. Design/methodology/approach The authors explore the practical application of speculative bubble models to cryptocurrencies. They then show how the approach can be extended to provide estimated brand valu...

We outline the valuation process for a No-Negative Equity Guarantee in an Equity Release Mortgage loan and for an Equity Release Mortgage that has such a guarantee. Illustrative valuations are provided based on the Black ’76 put pricing formula and mortality projections based on the M5, M6 and M7 mortality versions of the Cairns–Blake–Dowd (CBD) fa...

We consider the readability of payday loan websites against conventional lenders. Our findings show that credit card websites are harder to read and contain more complex terminology. Our central contribution is to provide the first known measurement of readability in consumer finance — something regulators have found helpful in other domains.

The main aim of this paper is to investigate how far applying suitably conceived and designed credit scoring models can properly account for the incidence of default and help improve the decision-making process. Four statistical modelling techniques, namely, discriminant analysis, logistic regression, multi-layer feed-forward neural network and pro...

We analyse takeovers in an industry with bilateral capital‐linked firms in cross partial ownership (CPO). Before merger, CPO reduces the profitability of involved firms, confirming the “outsider effect.” However, the impact of CPO upon merger profitability is two‐sided in a Cournot setting. CPO, by cointegrating profits, increases output collusion...

Regional monopoly service organisations such as electricity, gas and water distributors, health trusts, public transport, and local government are subject to regulatory oversight. A common element in this is benchmarking an organisation against similar organisations based in different regions. Customer satisfaction is often an important part of thi...

We develop bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices. Empirically, we present robustified evidence of bubbles in Bitcoin and Ethereum. Theoretically, we show that liquidity risks may generate heavy-tails in Bitcoin and cryptocurrency m...

In this paper we develop a well-established financial model to investigate whether bubbles were present in opinion polls and betting markets prior to the UK’s vote on EU membership on 23 June 2016. The importance of our contribution is threefold. Firstly, our continuous-time model allows for irregularly spaced time series—a common feature of polling...

Amid fears of high-risk technology failures in the global �financial system we develop a model for Flash Crashes and Flash Rallies. Though associated with extreme forms of illiquidity and market concentration Flash Crashes appear to be unpredictable in advance. Several measures may mitigate Flash Crash risk such as reducing the market impact of ind...

Amid fears of high-risk technology failures in the global financial system we develop a model for Flash Crashes and Flash Rallies. Though associated with extreme forms of illiquidity and market concentration Flash Crashes appear to be unpredictable in advance. Several measures may mitigate Flash Crash risk such as reducing the market impact of indi...

In this paper we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. The derived models allow for a probabilistic and statistical formulation of econophysics models closely linked to mainstream financial models. Applications include monitoring the stab...

Information asymmetry is a common feature that hinders lending to small and medium enterprises (SMEs). In the last decade, the growth in Islamic banks lending to SMEs was overwhelming to the extent that it prompted practitioners to regard this as a“ win-win” situation. Unlike a conventional bank that mainly resorts to relationship banking to SMEs,...

In this article we apply novel right-tailed unit root (sup Augmented Dickey-Fuller (SADF) and generalized sup ADF) tests to the China–US exchange rate. The empirical results document that the recent financial crisis in 2008 may be preceded by early warning signs of exuberance. Using the SADF test, evidence of an explosive behavior in the nominal ex...

Social Media usage in evacuations and emergency management represents a rapidly expanding field of study. Our paper thus provides quantitative insight into a serious practical problem. Within this context a behavioural approach is key. We discuss when facilitators should consider model-based interventions amid further implications for disaster comm...

Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles. Further, we find empirical evidence that the fundamental...

In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. By modifying previous approaches, we are able to derive novel analytical formulae for evaluation problems and for the expected timing of future change points. In particular, we help...

In this chapter we discuss the mathematical modelling of the next generation of smarter evacuations. Alongside a burgeoning literature on resilience we formulate a quantitative decision-making framework through which Social Media can be used to deliver more efficient evacuations. Our approach is flexible and improves upon existing models by allowin...

In this paper we develop models for multivariate financial bubbles and antibubbles based on statistical physics. In particular, we extend a rich set of univariate models to higher dimensions. Changes in market regime can be explicitly shown to represent a phase transition from random to deterministic behaviour in prices. Moreover, our multivariate...

In this paper we provide a unifying framework for a set of seemingly disparate models for bubbles, shocks and elementary technical trading strategies in financial markets. Markets operate by balancing intrinsic levels of risk and return. This seemingly simple observation is commonly over-looked by academics and practitioners alike. Our model shares...

In this paper we provide a unifying framework for a set of seemingly disparate models for exogenous and endogenous shocks in complex financial systems. Markets operate by balancing intrinsic levels of risk and return. This remains true even in the midst of transitory external shocks. Changes in market regime (bearish to bullish and bullish to beari...

Purpose – Recent events demonstrate that problems in the banking system pose a significant threat to the health of the global economy. Despite several shortcomings the Basel Accord thus emerges as an attempt to protect banking systems. The purpose of this study is to shed light on potential barriers to implementation of the Basel Accord in emerging...

In this paper we employ a Markov-Switching EGARCH model to investigate the dynamic linkage between stock price volatility and exchange rate changes for four emerging countries over the period 1994-2009. Results distinguish between two different regimes in both the conditional mean and the conditional variance of stock returns. The first corresponds...

Motivated by an on-going debate in economic history we develop a simple method to quantify the impact of economic revolutions upon a novel historical data set listing the wages of building craftsmen and labourers in Southeast Europe. Structural breaks are found in the data and signify the effects of economic revolutions. With a small number of loca...

We develop a rational expectations model of financial bubbles and study how the risk-return interplay is incorporated into prices. We retain the interpretation of the leading Johansen-Ledoit-Sornette model: namely, that the price must rise prior to a crash in order to compensate a representative investor for the level of risk. This is accompanied,...

While the linear regression of Chapter 1 goes back to the nineteenth century, the Analysis of Variance of this chapter dates from the twentieth century, in applied work by Fisher motivated by agricultural problems (see §2.6). We begin this chapter with some necessary preliminaries, on the special distributions of Statistics needed for small-sample...

We introduce and study multivariate elliptic processes, thus providing a dynamic counterpart to the (static) multivariate elliptic distributions. We pay special attention to the dynamics for Lévy processes and diffusions. We also discuss discrete versus continuous time modelling, jump processes versus diffusions, and semimartingales. Some data anal...

We have seen several examples of hypotheses on models encountered so far. For example, in dealing with polynomial regression §4.1 we met, when dealing with a polynomial model of degree k, the hypothesis that the degree was at most k−1 (that is, that the leading coefficient was zero). In Chapter 5, we encountered nested models, for example two gene...

In previous chapters, we have studied the model y = Ab+ e,y = A\beta + \epsilon, where the mean Ey = Aβ depends linearly on the parameters β, the errors are normal (Gaussian), and the errors are additive. We have also seen (Chapter 7) that in some situations, a transformation of the problem may help to correct some departure from our standard m...

Suppose that having fitted the regression model $$\vec{y} = X\beta + \epsilon, $$ (M0)we wish to introduce qadditional explanatory variables into our model. The augmented regression model, M A , say becomes $$\vec{y} = X\beta + Z\gamma + \epsilon. $$ (MA)We rewrite this as $$\begin{array}{rcl} \vec{y} = X\beta + Z\gamma + \epsilon & =& (X,Z){\left...

For one regressor x, simple linear regression is fine for fitting straight-line trends. But what about more general trends – quadratic trends, for example? (E.g. height against time for a body falling under gravity is quadratic.) Or cubic trends? (E.g.: the van der Waals equation of state in physical chemistry.) Or quartic? – etc.

In the above, we have assumed several things: (i) the mean μ = Ey is a linear function of the regressors, or of the parameters; (ii) the errors are additive; (iii) the errors are independent; (iv) the errors are normally distributed (Gaussian); (v) the errors have equal variance.

When we first meet Statistics, we encounter random quantities (random variables, in probability language, or variates, in statistical language) one at a time. This suffices for a first course.Soon however we need to handle more than one random quantity at a time. Already we have to think about how they are related to each other. Let us take the sim...

In §5.1 we considered extending our initial model (M 0), with p parameters, to an augmented model M A with a further q parameters. Here, as in Chapter 2, we have p + q < < n, there are many fewer parameters than data points. We now turn to a situation with some similarities but with important contrasts. Here our initial model has fixed effects, but...

We saw in Chapter 1 how the model $${y}_{i} = a + b{x}_{i} + {\epsilon }_{i},\qquad {\epsilon }_{i}\quad \mbox{ iid}\quad N(0,{\sigma }^{2})$$for simple linear regression occurs. We saw also that we may need to consider two or more regressors. We dealt with two regressors uand v, and could deal with three regressors u, vand wsimilarly. But in gener...

We develop a rational expectations model of financial bubbles and study ways in which a generic risk-return interplay is incorporated into prices. We retain the interpretation of the leading Johansen-Ledoit-Sornette model, namely, that the price must rise prior to a crash in order to compensate a representative investor for the level of risk. This...

Log-periodic precursors have been identified before most and perhaps all financial crashes of the Twentieth Century, but efforts to statistically validate the leading model of log-periodicity, the Johansen-Ledoit-Sornette (JLS) model, have generally failed. The main feature of this model is that log-harmonic fluctuations in financial prices are dri...

Log-periodic precursors have been identified before most and perhaps all financial crashes of the Twentieth Century, but efforts to statistically validate the leading model of log-periodicity, the Johansen-Ledoit-Sornette (JLS) model, have generally failed. The main feature of this model is that log-harmonic fluctuations in financial prices are dri...

Using annual data 1209-1914, this paper examines whether there are structural breaks in the movements of prices and wages that correspond to the major ‘revolutions’ identified in historical narratives. Econometric modelling of trend and volatility in prices and wages confirms the importance of the Commercial Revolution and the Glorious Revolution,...

This paper addresses an important contemporary issue; namely the implementation of the Basel Accord worldwide. The Basel Accord provides a series of measures to improve the stability of the world’s financial system but its implementation poses a number of challenges for both developing and emerging economies. Pakistan faces a number of unique chall...

In this paper we empirically test the hypothesis that economic revolutions are associated with structural breaks in historical economic data. A simple test for structural breaks in economic time series is applied to British wage and price data from the medieval to the modern period. Evidence for structural change is found in nearly half of the seri...