Skip to main content

Research Repository

Advanced Search

All Outputs (43)

Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets (2018)
Journal Article
Fry, J. (2018). Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets. Economics letters, 171, 225-229. https://doi.org/10.1016/j.econlet.2018.08.008

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.... Read More about Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets.

Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests (2018)
Journal Article
El Montasser, G., Naoui, K., & Fry, J. (2018). Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests. Journal of Statistics and Management Systems, 21(1), 93-106. https://doi.org/10.1080/09720510.2017.1401799

This paper uses recently developed sequential ADF tests to distinguish between rational speculative bubbles and explosive fundamentals in the US Stock market. The sequential ADF tests are shown to be more sensitive than the conventional ADF test. Res... Read More about Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests.

SME's lending and Islamic finance. Is it a "win-win" situation? (2016)
Journal Article
Shaban, M., Duygun, M., & Fry, J. (2016). SME's lending and Islamic finance. Is it a "win-win" situation?. Economic modelling, 55, 1-5. https://doi.org/10.1016/j.econmod.2016.01.029

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 “... Read More about SME's lending and Islamic finance. Is it a "win-win" situation?.

Negative bubbles and shocks in cryptocurrency markets (2016)
Journal Article
Fry, J., & Cheah, E.-T. (2016). Negative bubbles and shocks in cryptocurrency markets. International review of financial analysis, 47, 343-352. https://doi.org/10.1016/j.irfa.2016.02.008

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 econoph... Read More about Negative bubbles and shocks in cryptocurrency markets.

Explosive bubbles in the US-China exchange rate? Evidence from right-tailed unit root tests (2016)
Journal Article
El Montasser, G., Fry, J., & Apergis, N. (2016). Explosive bubbles in the US-China exchange rate? Evidence from right-tailed unit root tests. China Economic Journal, 9(1), 34-46. https://doi.org/10.1080/17538963.2015.1125591

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 w... Read More about Explosive bubbles in the US-China exchange rate? Evidence from right-tailed unit root tests.

Book reviews (2015)
Journal Article
Fry, J. (2015). Book reviews. Market technician : the journal of the Society of Technical Analysts, 79, 8-8

Book reviews (2015)
Journal Article
Fry, J. (2015). Book reviews. Market technician : the journal of the Society of Technical Analysts, 78, 6-7

Elementary modelling and behavioural analysis for emergency evacuations using social media (2015)
Journal Article
Fry, J., & Binner, J. (2016). Elementary modelling and behavioural analysis for emergency evacuations using social media. European journal of operational research, 249(3), 1014-1023. https://doi.org/10.1016/j.ejor.2015.05.049

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 whe... Read More about Elementary modelling and behavioural analysis for emergency evacuations using social media.

Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)
Journal Article
Cheah, E.-T., & Fry, J. (2015). Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics letters, 130, 32-36. https://doi.org/10.1016/j.econlet.2015.02.029

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... Read More about Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin.

Stochastic modelling for financial bubbles and policy (2015)
Journal Article
Fry, J. (2015). Stochastic modelling for financial bubbles and policy. Cogent Economics and Finance, 3(1), Article 1002152. https://doi.org/10.1080/23322039.2014.1002152

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... Read More about Stochastic modelling for financial bubbles and policy.

Quantitative decision-making for the next generation of smarter evacuations (2014)
Book Chapter
Fry, J., Galla, T., & Binner, J. (2014). Quantitative decision-making for the next generation of smarter evacuations. In J. Preston, J. M. Binner, L. Branicki, T. Galla, N. Jones, J. King, M. Kolokitha, & M. Smyrnakis (Eds.), City Evacuations: An Interdisciplinary Approach (63-87). Springer. https://doi.org/10.1007/978-3-662-43877-0_4

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 deliv... Read More about Quantitative decision-making for the next generation of smarter evacuations.

Multivariate bubbles and antibubbles (2014)
Journal Article
Fry, J. (2014). Multivariate bubbles and antibubbles. European Physical Journal B : Condensed Matter and Complex Systems, 87, Article 174. https://doi.org/10.1140/epjb/e2014-50324-9

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 repres... Read More about Multivariate bubbles and antibubbles.

Bubbles, shocks and elementary technical trading strategies (2014)
Journal Article
Fry, J. (2014). Bubbles, shocks and elementary technical trading strategies. European Physical Journal B : Condensed Matter and Complex Systems, 87, Article 1. https://doi.org/10.1140/epjb/e2013-40587-y

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 seeming... Read More about Bubbles, shocks and elementary technical trading strategies.

Exogenous and endogenous crashes as phase transitions in complex financial systems (2012)
Journal Article
Fry, J. (2012). Exogenous and endogenous crashes as phase transitions in complex financial systems. European Physical Journal B : Condensed Matter and Complex Systems, 85, Article 405. https://doi.org/10.1140/epjb/e2012-30234-8

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 mi... Read More about Exogenous and endogenous crashes as phase transitions in complex financial systems.

Risk management and Basel-Accord-implementation in Pakistan (2012)
Journal Article
Masood, O., & Fry, J. (2012). Risk management and Basel-Accord-implementation in Pakistan. Journal of financial regulation and compliance, 20(3), 293-306. https://doi.org/10.1108/13581981211237981

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... Read More about Risk management and Basel-Accord-implementation in Pakistan.

Gaussian and non-Gaussian models for financial bubbles via econophysics (2011)
Journal Article
Fry, J. (2011). Gaussian and non-Gaussian models for financial bubbles via econophysics. Hyperion International Journal of Econophysics and New Economy, 4(1), 7-22

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 raise prior to... Read More about Gaussian and non-Gaussian models for financial bubbles via econophysics.

Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)
Journal Article
Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging markets review, 12(3), 272-292. https://doi.org/10.1016/j.ememar.2011.04.003

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 regim... Read More about Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach.

Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices (2010)
Journal Article
Fry, J. (2010). Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices. Journal of Applied Research in Finance, 2(4), 131-137

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... Read More about Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices.