Non-Parametric Modelling of Heavy Tails and Skewness of Box-Office Revenues

4th International Conference on Computational and Financial Econometrics (CFE'10), University of London & LSE

Posted: 7 Aug 2010

See all articles by Vlasios Voudouris

Vlasios Voudouris

ABM Analytics Ltd

Robert Rigby

London Metropolitan University

Dimitrios Stasinopoulos

London Metropolitan University

Robert Gilchrist

London Metropolitan University

John Sedgwick

London Metropolitan Business School

Date Written: August 6, 2010

Abstract

Using box-office data for movies released in the US market in the 1990s and 1930s, we establish probabilistic statements for the box-office revenues that the market at these instances dictate. Here, we propose a smooth and non-parametric model of heavy tails and skewness using the GAMLSS (Generalized Additive Models for Location Scale and Shape) framework. In doing so, an understanding of the demand dynamics and adaptive supply arrangements of the motion picture industry is presented. The movie market is particularly interesting due to its skewed and kurtotic macro-regularity, which resulted in the hypothesis that "nobody knows what makes a hit or when it will happen". This hypothesis is revised here.

Keywords: BCPE distribution, non-parametric regression model, motion picture industry, GAMLSS

JEL Classification: C1, C14

Suggested Citation

Voudouris, Vlasios and Rigby, Robert and Stasinopoulos, Dimitrios and Gilchrist, Robert and Sedgwick, John, Non-Parametric Modelling of Heavy Tails and Skewness of Box-Office Revenues (August 6, 2010). 4th International Conference on Computational and Financial Econometrics (CFE'10), University of London & LSE. Available at SSRN: https://ssrn.com/abstract=1654461

Vlasios Voudouris (Contact Author)

ABM Analytics Ltd ( email )

Suite 17 125
145-157 St John Street
London, EC1V 4PW
United Kingdom

HOME PAGE: http://www.abm-analytics.com/people.php

Robert Rigby

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

Dimitrios Stasinopoulos

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

Robert Gilchrist

London Metropolitan University ( email )

166-220 Holloway Road
London EC3N 2EY, N7 8HN
United Kingdom

John Sedgwick

London Metropolitan Business School ( email )

London Metropolitan University
Holloway Road 271-280
LONDON, London N7 8HN
United Kingdom

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