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researcher

Dr John Fry

Senior Lecturer (A, F & E)

Faculty/Dept/School School of Management
(Faculty of Management, Law and Social Sciences)
Emailj.fry1@bradford.ac.uk

Biography

John joined the University of Bradford as Senior Lecturer in September 2019 having previously taught in a range of different universities in the UK in finance (Sheffield), operations research (Sheffield Hallam University) and mathematics (Manchester Metropolitan University, Nottingham Trent University). With multidisciplinary research (and teaching) interests spanning econophysics, mathematical finance, statistics and operations research John has a PhD in Mathematical Finance and an MSc in Statistics from the University of Sheffield. John previously studied Mathematics and Statistics at the University of Newcastle-upon-Tyne.

Journal articles

[26] Dowd, K., Blake, D., Buckner, D. and Fry, J. (2019) The valuation of no-negative equity guarantees and equity release mortgages. Economics Letters 184 108669 [ABS list 3*]

[25] Fry, J. (2019) Stochastic drawdowns. Quantitative Finance 19 899-900 [ABS list 3*]

  [24] Abdou, H., Mitra, S., Fry, J. and El Amer, M. (2019) Would two-stage scoring models alleviate bank exposure to bad debt? Expert Systems with Applications 128 1-13 [ABS list 3*]

[23] Burke, M. and Fry, J. M. (2019) How easy is it to understand consumer finance? Economics Letters 177 1-4. [ABS list 3*]

[22] Brint, A. and Fry, J. (2019) Regional bias when benchmarking services using customer satisfaction scores. Total Quality Management and Business Excellence (forthcoming) [ABS list 2*] [21] Serbera, J-P. and Fry, J. (2019) Takeover deterrents and Cross Partial Ownerships: the case of golden shares. Managerial and Decision Economics 40 243-250 [ABS list 2*]

[20] Fry, J. (2018) Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? Economics Letters 171 225-229. [ABS list 3*]

[19] El Montasser, G., Naoui, K. and 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 93-106.

[18] Fry, J. and Brint, A. (2017) Bubbles, blind-spots and Brexit. Risks 5 37.

[17] Fry, J. and Cheah, E-T. (2016) Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis 47 343-352. [ABS list 3*]

[16] Shaban, M., Duygun, M. and Fry, J. (2016) SME's lending and Islamic finance. Is it a “win-win” situation? Economic Modelling 55 1-5 [ABS list 2*]

[15] El Montasser, G., Fry, J. and Apergis, N. (2016) Explosive bubbles in the US-China exchange rate? Evidence from right-tailed unit root tests. China Economic Journal 9 34-46 ABS list 1*]

[14] Fry, J. and Binner, J. (2016) Elementary modelling and behavioural analysis for emergency evacuations using Social Media. European Journal of Operational Research 249 1014-1023. [ABS 4*]

[13] Fry, J. M. (2015a) Book reviews. Market Technician: The Journal of the STA 79 8-8.

[12] Cheah, E-T. and Fry, J. M. (2015) Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters 130 32-36 [ABS list 3*]

[11] Fry, J. M. (2015b) Book reviews. Market Technician: The Journal of the STA 78 6-7.

[10] Fry, J. M. (2015c) Stochastic modelling for financial bubbles and policy. Cogent Economics and Finance [Taylor and Francis Open Access journal] 3 1002152 [ABS list 1*]

[9] Fry, J. M. (2014) Mathematical modelling, technical analysis and econophysics. Market Technician: The Journal of the STA 77 5-8.

[8] Fry, J. (2014) Multivariate bubbles and antibubbles. European Physical Journal B 87 174 [Australian Journal List A, Impact factor 1.463]

[7] Fry, J. (2014) Bubbles, shocks and elementary technical trading strategies. European Physical Journal B 87 1 [Australian Journal List A, Impact factor 1.463]

[6] Fry, J. (2012) Exogenous and endogenous crashes as phase transitions in complex financial systems. European Physical Journal B 85 405 [Australian Journal List A, Impact factor 1.463].

[5] Masood, O. and Fry, J. M. (2012) Risk management and Basel-Accord-implementation in Pakistan. Journal of Financial Regulation and Compliance 20 293-306 [ABS list 1*]

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

[3] Walid, C., Chaker, A., Masood, O. and Fry, J. (2011) Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging Markets Review 12 272-292 [ABS list 2*, Impact Factor 1.167]

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

[1] Bingham, N. H., Fry, J. M. and Kiesel, R. (2010) Multivariate elliptical processes. Statistica Neerlandica 64 352-366 [Australian Journal List B, Impact Factor 0.585]  

Books

[2] Bingham, N, H, and Fry, J. M. (2010) Regression: Linear models in statistics. Springer Undergraduate Mathematics Series, Springer London Dordtrecht Heidelberg New York.

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

Book Chapters [1] Fry, J., Galla, T., and Binner, J. (2014) Quantitative decision-making for the next generation of smarter evacuations. In Preston, J., Binner, J., Branicki, L., Galla, T., and Jones, N (eds.) (2014) City evacuations: An interdisciplinary approach. Springer pp 63-88.

PhD Thesis [1] Fry, J. M. (2008) Statistical modelling of financial crashes. PhD thesis, Department of Probability and Statistics,  University of Sheffield.

Research

My research interests span econophysics, mathematical finance, statistics and operations research. I have worked on various projects in applied statistics. I am interested in a wide range of applications of quantitative methods to business and finance and am actively looking to supervise research students in any of the above areas.

Journal articles

[26] Dowd, K., Blake, D., Buckner, D. and Fry, J. (2019) The valuation of no-negative equity guarantees and equity release mortgages. Economics Letters 184 108669 [ABS list 3*]

[25] Fry, J. (2019) Stochastic drawdowns. Quantitative Finance 19 899-900 [ABS list 3*]

  [24] Abdou, H., Mitra, S., Fry, J. and El Amer, M. (2019) Would two-stage scoring models alleviate bank exposure to bad debt? Expert Systems with Applications 128 1-13 [ABS list 3*]

[23] Burke, M. and Fry, J. M. (2019) How easy is it to understand consumer finance? Economics Letters 177 1-4. [ABS list 3*]

[22] Brint, A. and Fry, J. (2019) Regional bias when benchmarking services using customer satisfaction scores. Total Quality Management and Business Excellence (forthcoming) [ABS list 2*] [21] Serbera, J-P. and Fry, J. (2019) Takeover deterrents and Cross Partial Ownerships: the case of golden shares. Managerial and Decision Economics 40 243-250 [ABS list 2*]

[20] Fry, J. (2018) Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? Economics Letters 171 225-229. [ABS list 3*]

[19] El Montasser, G., Naoui, K. and 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 93-106.

[18] Fry, J. and Brint, A. (2017) Bubbles, blind-spots and Brexit. Risks 37.

[17] Fry, J. and Cheah, E-T. (2016) Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis 47 343-352. [ABS list 3*]

[16] Shaban, M., Duygun, M. and Fry, J. (2016) SME's lending and Islamic finance. Is it a “win-win” situation? Economic Modelling 55 1-5 [ABS list 2*]

[15] El Montasser, G., Fry, J. and Apergis, N. (2016) Explosive bubbles in the US-China exchange rate? Evidence from right-tailed unit root tests. China Economic Journal 34-46 ABS list 1*]

[14] Fry, J. and Binner, J. (2016) Elementary modelling and behavioural analysis for emergency evacuations using Social Media. European Journal of Operational Research 249 1014-1023. [ABS 4*]

[13] Fry, J. M. (2015a) Book reviews. Market Technician: The Journal of the STA 79 8-8.

[12] Cheah, E-T. and Fry, J. M. (2015) Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Economics Letters 130 32-36 [ABS list 3*]

[11] Fry, J. M. (2015b) Book reviews. Market Technician: The Journal of the STA 78 6-7.

[10] Fry, J. M. (2015c) Stochastic modelling for financial bubbles and policy. Cogent Economics and Finance [Taylor and Francis Open Access journal] 1002152 [ABS list 1*]

[9] Fry, J. M. (2014) Mathematical modelling, technical analysis and econophysics. Market Technician: The Journal of the STA 77 5-8.

[8] Fry, J. (2014) Multivariate bubbles and antibubbles. European Physical Journal B 87 174 [Australian Journal List A, Impact factor 1.463]

[7] Fry, J. (2014) Bubbles, shocks and elementary technical trading strategies. European Physical Journal B 87 1 [Australian Journal List A, Impact factor 1.463]

[6] Fry, J. (2012) Exogenous and endogenous crashes as phase transitions in complex financial systems. European Physical Journal B 85 405 [Australian Journal List A, Impact factor 1.463].

[5] Masood, O. and Fry, J. M. (2012) Risk management and Basel-Accord-implementation in Pakistan. Journal of Financial Regulation and Compliance 20 293-306 [ABS list 1*]

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

[3] Walid, C., Chaker, A., Masood, O. and Fry, J. (2011) Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging Markets Review 12 272-292 [ABS list 2*, Impact Factor 1.167]

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

[1] Bingham, N. H., Fry, J. M. and Kiesel, R. (2010) Multivariate elliptical processes. Statistica Neerlandica 64 352-366 [Australian Journal List B, Impact Factor 0.585]  

Books

[2] Bingham, N, H, and Fry, J. M. (2010) Regression: Linear models in statistics. Springer Undergraduate Mathematics Series, Springer London Dordtrecht Heidelberg New York.

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

Book Chapters [1] Fry, J., Galla, T., and Binner, J. (2014) Quantitative decision-making for the next generation of smarter evacuations. In Preston, J., Binner, J., Branicki, L., Galla, T., and Jones, N (eds.) (2014) City evacuations: An interdisciplinary approach. Springer pp 63-88.

PhD Thesis [1] Fry, J. M. (2008) Statistical modelling of financial crashes. PhD thesis, Department of Probability and Statistics,  University of Sheffield.

Teaching

Teaching interests

I am module leader for the following modules:

Empirical Methods in Accounting and Finance AFE 6014B

Risk Management and Derivatives AFE 6013B

Financial Technology and Blockchain AFE 7510

Publications

Peer Reviewed Journal
TitleModelling corporate bank accounts (2021)
AuthorsFry, J., Griguta, V., Geber, L., Slater-Petty, H., Crockett, K.
JournalEconomics Letters
 
TitleA Variance Gamma model for Rugby Union matches (2020)
AuthorsFry, J., Smart, O., Serbera, J-P., Klar, B.
JournalJournal of Quantitative Analysis in Sports
 
TitleQuantifying the sustainability of Bitcoin and Blockchain (2020)
AuthorsJohn Fry and Jean-Philippe Serbera
JournalJournal of Enterprise Information Management
 
TitleAn options-pricing approach to election prediction (2020)
AuthorsFry J; Burke M
JournalQuantitative Finance
 
TitleTakeover deterrants and Cross Partial Ownerships: the case of golden shares (2019)
AuthorsSerbera, J-P., Fry, J.
JournalManagerial and Decision Economics
 
TitleWould two-stage scoring models alleviate bank exposure to bad debt? (2019)
AuthorsAbdou, H.A.; Mitra, S.; Fry, J.; Elamer, Ahmed A.
JournalExpert Systems with Applications
PublisherElsevier
DOIhttps://doi.org/10.1016/j.eswa.2019.03.028
 
TitleHow easy is it to understand consumer finance? (2019)
AuthorsBurke, M., Fry, J.
JournalEconomics Letters
 
TitleThe valuation of no-negative equity guarantees and equity release mortgages. (2019)
AuthorsDowd, K., Buckner, D., Blake, D. and Fry, J.
JournalEconomics Letters
 
TitleRegional bias when benchmarking services using customer satisfaction scores (2019)
AuthorsBrint, A., Fry, J.
JournalTotal Quality Management and Business Excellence
 
TitleStochastic Drawdowns (2019)
AuthorsFry, J.
JournalQuantitative Finance
 
TitleBooms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? (2018)
AuthorsFry, J.
JournalEconomics Letters
 
TitleBubbles, blind-spots and Brexit (2017)
AuthorsFry, J., Brint, A.
JournalRisks
 
TitleNegative bubbles and shocks (2016)
AuthorsJohn Fry and Eng-Tuck Cheah
JournalInternational Review of Financial Analysis
 
TitleElementary modelling and behavioural analysis for emergency evacuations using Social Media (2016)
AuthorsFry, J. and Binner, J.
JournalEuropean Journal of Operational Research
 
TitleExplosive bubbles in the US-China exchange rate? Evidence from right-tailed unit root tests. (2016)
AuthorsEl Montasser, G., Fry, J., Apergis, N.
JournalChina Economic Journal
 
TitleSME's lending and Islamic finance. Is it a "win-win" situation? (2016)
AuthorsShaban. M., Duygun, M., Fry, J.
JournalEconomic Modelling
 
TitleSpeculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin (2015)
AuthorsCheah, E-T, Fry, J.
JournalEconomics Letters
 
TitleStochastic modelling for financial bubbles and policy (2015)
AuthorsFry, J.
JournalCogent Economics And Finance
 
TitleMultivariate bubbles and antibubbles (2014)
AuthorsFry, J.
JournalEuropean Physical Journal B
 
TitleBubbles, shocks and elementary technical trading strategies (2014)
AuthorsFry, J.
JournalEuropean Physical Journal B
 
TitleExogenous and endogenous crashes as phase transitions in complex financial systems (2012)
AuthorsFry, J.
JournalEuropean Physical Journal B
 
TitleStock market volatility and exchange rates in emerging countries: A Markov-state switching approach. (2011)
AuthorsWalid, C., Chaker, A.,Masood, O., Fry, J.
JournalEmerging Markets Review
 
TitleMultivariate elliptical processes (2010)
AuthorsBingham, N. H., Fry, J. M., Kiesel, R.
JournalStatistica Neerlandica