All Outputs (4)

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.

Regression: Linear models in statistics (2010)
Book
Bingham, N., & Fry, J. (2010). Regression: Linear models in statistics. London: Springer. https://doi.org/10.1007/978-1-84882-969-5

Regression is the branch of Statistics in which a dependent variable of interest is modelled as a linear combination of one or more predictor variables, together with a random error. The subject is inherently two- or higher- dimensional, thus an unde... Read More about Regression: Linear models in statistics.

Multivariate Elliptical Processes (2010)
Journal Article
Bingham, B., Fry, J., & Kiesel, R. (2010). Multivariate Elliptical Processes. Statistica Neerlandica, 64(3), 352-366. https://doi.org/10.1111/j.1467-9574.2010.00465.x

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 ver... Read More about Multivariate Elliptical Processes.

Modelling bubbles and crashes in economics: With an application to English house prices (2010)
Book
Fry, J. (2010). Modelling bubbles and crashes in economics: With an application to English house prices. Saarbrucken: VDM Publishing