Dr John Fry
Lecturer in Finance
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John gained a BSc in Mathematics and Statistics (2002) from the University of Newcastle-upon-Tyne, an MSc in Statistics (2004) and a PhD in Probability and Statistics (2008), both from the University of Sheffield, and a PGCHE (2012) from Nottingham Trent University. Having worked in various places as a post-doc (University of Warwick, University of Manchester, University of East London) and having lectured in mathematics (statistics) at Nottingham Trent University, John joined the Management school as a lecturer in Finance in October 2012.
Teaching Interests
John currently teaches on the following modules on the MSc in Finance and Accounting
- MGT 6096 Quantitative Methods for Finance and Accounting
- MGT 6097 Corporate Finance
- MGT 6091 Issues in Finance
John’s teaching is heavily influenced by his post-doctoral research experience and aims to challenge students to think critically – solving their own problems and explaining difficult technical concepts clearly and concisely.
Research Interests
Starting with a background in mathematical finance John’s research interests have progressively become increasingly financial – though the application and development of quantitative methodology remains central to John’s work. Having worked on a range of quantitative financial topics John’s current main research interests are as follows:
Econophysics
Using techniques derived from statistical physics it is possible to generate empirically testable models for bubbles and crashes in financial markets. This approach has recently begun to attract interest from market regulators and potential applications include bubbles and crashes in housing markets, endogenous and exogenous stock market crashes and the development of elementary technical trading strategies.
Operations Research/Quantitative modelling for next generational resilience
In research work conducted alongside the cabinet office I have worked on the modelling of evacuation strategies incorporating information from new Social Media platforms. This work is inherently interdisciplinary in nature but has its roots in classical Network Flow models in Operations Research.
PhD Supervision
John is interested in supervising PhD students in quantitative finance (broadly defined), econophysics or mathematical modelling for economic policy.
Publications
Fry, J. (2012) Exogenous and endogenous crashes as phase transitions in complex financial systems. European Physical Journal B 85 405.
Masood, O. and Fry, J. M. (2012) Risk management and Basel-Accord-implementation in Pakistan. Journal of Financial Regulation and Compliance 20 293-306.
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.
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.
Bingham, N, H, and Fry, J. M. (2010) Regression: Linear models in statistics. Springer Undergraduate Mathematics Series, Springer London Dordtrecht Heidelberg New York.
Bingham, N. H., Fry, J. M. and Kiesel, R. (2010) Multivariate elliptical processes. Statistica Neerlandica 64 352-366.