All Outputs (43)

Customer satisfaction scores: new models to estimate (2024)
Journal Article
Fry, J., & Brint, A. (2025). Customer satisfaction scores: new models to estimate. Tourism Management, 106, Article 105030. https://doi.org/10.1016/j.tourman.2024.105030

In this paper we develop new models for the distribution of customer satisfaction scores. This leads to new approaches for estimating the number of fake reviews in empirical data. Modifications of the basic model are presented that account for the pr... Read More about Customer satisfaction scores: new models to estimate.

An options-pricing approach to forecasting the French presidential election (2024)
Journal Article
Fry, J., Hastings, T., & Binner, J. (in press). An options-pricing approach to forecasting the French presidential election. Journal of the Operational Research Society, https://doi.org/10.1080/01605682.2024.2334339

A subjective probability argument suggests vote-share estimates from polling companies can be interpreted as market prices. The corresponding election constitutes the price at a known future date. This makes an options-pricing approach particularly a... Read More about An options-pricing approach to forecasting the French presidential election.

Faster identification of faster Formula 1 drivers via time-rank duality (2024)
Journal Article
Fry, J., Brighton, T., & Fanzon, S. (2024). Faster identification of faster Formula 1 drivers via time-rank duality. Economics letters, 237, Article 111671. https://doi.org/10.1016/j.econlet.2024.111671

Two natural ways of modelling Formula 1 race outcomes are a probabilistic approach, based on the exponential distribution, and econometric modelling of the ranks. Both approaches lead to exactly soluble race-winning probabilities. Equating race-winni... Read More about Faster identification of faster Formula 1 drivers via time-rank duality.

Towards a taxonomy for crypto assets (2023)
Journal Article
Fry, J., & Ibiloye, O. (2023). Towards a taxonomy for crypto assets. Cogent Economics and Finance, 11(1), Article 2207266. https://doi.org/10.1080/23322039.2023.2207266

We explore the taxonomy of cryptocurrencies and integrate our analysis with traditional ways of understanding financial assets. We thus classify crypto-currencies using the time series and distributional properties of returns. Cryptocurrencies appear... Read More about Towards a taxonomy for crypto assets.

Revisiting Student Evaluation of Teaching during the pandemic (2023)
Journal Article
Fry, J. (2023). Revisiting Student Evaluation of Teaching during the pandemic. Applied Economics Letters, https://doi.org/10.1080/13504851.2023.2178623

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... Read More about Revisiting Student Evaluation of Teaching during the pandemic.

Quantitative Methods in Finance using R (2022)
Book
Fry, J., & Burke, M. (2022). Quantitative Methods in Finance using R. Maidenhead: Open University Press

Attention to Authority: The behavioural finance of Covid-19 (2022)
Journal Article
Burke, M., Fry, J., Kemp, S., & Woodhouse, D. (2022). Attention to Authority: The behavioural finance of Covid-19. Finance research letters, 49, Article 103081. https://doi.org/10.1016/j.frl.2022.103081

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. W... Read More about Attention to Authority: The behavioural finance of Covid-19.

Voting intentions on social media and political opinion polls (2021)
Journal Article
Pekar, V., Najafi, H., Binner, J., Swanson, R., Rickard, C., & Fry, J. (in press). Voting intentions on social media and political opinion polls. Government information quarterly, Article 101658. https://doi.org/10.1016/j.giq.2021.101658

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 b... Read More about Voting intentions on social media and political opinion polls.

Automated data processing of bank statements for cash balance forecasting (2021)
Journal Article
Griguta, V., Gerber, L., Slater-Petty, H., Crockett, K., & Fry, J. (2021). Automated data processing of bank statements for cash balance forecasting. Lecture Notes in Networks and Systems, 284, 49-64. https://doi.org/10.1007/978-3-030-80126-7_5

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 project... Read More about Automated data processing of bank statements for cash balance forecasting.

Managing performance expectations in association football (2021)
Journal Article
Fry, J., Serbera, J., & Wilson, R. (2021). Managing performance expectations in association football. Journal of business research, 135, 445-453. https://doi.org/10.1016/j.jbusres.2021.06.052

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... Read More about Managing performance expectations in association football.

Modelling corporate bank accounts (2021)
Journal Article
Fry, J., Griguta, V.-M., Gerber, L., Slater-Petty, H., & Crockett, K. (2021). Modelling corporate bank accounts. Economics letters, 205, Article 109924. https://doi.org/10.1016/j.econlet.2021.109924

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... Read More about Modelling corporate bank accounts.

An options pricing approach to election prediction (2020)
Journal Article
Fry, J., & Burke, M. (2020). An options pricing approach to election prediction. Quantitative finance, 20(10), 1583-1589. https://doi.org/10.1080/14697688.2020.1757136

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

A Variance Gamma model for Rugby Union matches (2020)
Journal Article
Fry, J., Smart, O., Serbera, J.-P., & Klar, B. (2021). A Variance Gamma model for Rugby Union matches. Journal of Quantitative Analysis in Sports, 17(1), 67-75. https://doi.org/10.1515/jqas-2019-0088

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 histo... Read More about A Variance Gamma model for Rugby Union matches.

Quantifying the sustainability of Bitcoin and Blockchain (2020)
Journal Article
Fry, J., & Serbera, J. (2020). Quantifying the sustainability of Bitcoin and Blockchain. Journal of Enterprise Information Management, 33(6), 1379-1394. https://doi.org/10.1108/JEIM-06-2018-0134

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 mod... Read More about Quantifying the sustainability of Bitcoin and Blockchain.

The valuation of no-negative equity guarantees and equity release mortgages (2019)
Journal Article
Dowd, K., Blake, D., Buckner, D., & Fry, J. (2019). The valuation of no-negative equity guarantees and equity release mortgages. Economics letters, 184, Article 108669. https://doi.org/10.1016/j.econlet.2019.108669

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 m... Read More about The valuation of no-negative equity guarantees and equity release mortgages.

Stochastic Drawdowns (2019)
Journal Article
Fry, J. (2019). Stochastic Drawdowns. Quantitative finance, 19(6), 899-900. https://doi.org/10.1080/14697688.2019.1605190

Would two-stage scoring models alleviate bank exposure to bad debt? (2019)
Journal Article
Abdou, H. A., Mitra, S., Fry, J., & El Amer, A. (2019). Would two-stage scoring models alleviate bank exposure to bad debt?. Expert Systems with Applications, 128, 1-13. https://doi.org/10.1016/j.eswa.2019.03.028

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,... Read More about Would two-stage scoring models alleviate bank exposure to bad debt?.

Takeover deterrents and Cross Partial Ownerships: the case of golden shares (2019)
Journal Article
Serbera, J., & Fry, J. (2019). Takeover deterrents and Cross Partial Ownerships: the case of golden shares. Managerial and decision economics : MDE, 40(3), 243-250. https://doi.org/10.1002/mde.2998

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 profita... Read More about Takeover deterrents and Cross Partial Ownerships: the case of golden shares.

Regional bias when benchmarking services using customer satisfaction scores (2019)
Journal Article
Brint, A., & Fry, J. (2021). Regional bias when benchmarking services using customer satisfaction scores. Total quality management & business excellence, 32(3-4), 344-358. https://doi.org/10.1080/14783363.2019.1568867

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 simil... Read More about Regional bias when benchmarking services using customer satisfaction scores.

How easy is it to understand consumer finance? (2019)
Journal Article
Burke, M., & Fry, J. (2019). How easy is it to understand consumer finance?. Economics letters, 177, 1-4. https://doi.org/10.1016/j.econlet.2019.01.004

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... Read More about How easy is it to understand consumer finance?.