Details about Thanos Verousis

Thanos Verousis edits the NEP report on Market Microstructure.

Access statistics for papers by Thanos Verousis.

Last updated 2022-06-29. Update your information in the RePEc Author Service.

Short-id: pve95

Working Papers

2022

1. Information and the arrival rate of option trading volume
   Post-Print, HAL View citations (1)
   See also Journal Article in Journal of Futures Markets (2022)

2021

2. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (1)
   Also in Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1)
3. On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects
   MPRA Paper, University Library of Munich, Germany

2015

4. Asymmetric post-announcement drift to good and bad news: evidence from voluntary trading disclosures in the Chinese stock market
   Greenwich Papers in Political Economy, University of Greenwich, Greenwich Political Economy Research Centre
   See also Journal Article in International Journal of the Economics of Business (2016)

Journal Articles

2022

1. Information and the arrival rate of option trading volume
   Journal of Futures Markets, 2022, 42, (4), 605-644 View citations (1)
   See also Working Paper (2022)

2021

2. The road to economic recovery: Pandemics and innovation
   International Review of Financial Analysis, 2021, 75, (C) View citations (1)

2020

3. A conditional fuzzy inference approach in forecasting
   European Journal of Operational Research, 2020, 283, (1), 196-216
4. Do investors follow the herd in option markets?
   Journal of Banking & Finance, 2020, 119, (C) View citations (5)
5. What do we know about individual equity options?
   Journal of Futures Markets, 2020, 40, (1), 67-91 View citations (1)

2019

6. Option‐implied information and stock herding
   International Journal of Finance & Economics, 2019, 24, (4), 1429-1442 View citations (5)

2018

7. Bid–ask spread and liquidity searching behaviour of informed investors in option markets
   Finance Research Letters, 2018, 25, (C), 96-102 View citations (3)
8. Cross-sectional dispersion and expected returns
   Quantitative Finance, 2018, 18, (5), 813-826 View citations (5)
9. One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations
   Review of Quantitative Finance and Accounting, 2018, 50, (2), 353-392 View citations (8)

2017

10. Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market
    Journal of Emerging Market Finance, 2017, 16, (2), 169-187 View citations (1)
11. Intraday herding on a cross-border exchange
    International Review of Financial Analysis, 2017, 53, (C), 25-36 View citations (11)
12. Multichannel contagion and systemic stabilisation strategies in interconnected financial markets
    Quantitative Finance, 2017, 17, (12), 1885-1904

2016

13. Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data‐Snooping Bias
    Journal of Forecasting, 2016, 35, (1), 1-12 View citations (4)
14. Asymmetric Post-Announcement Drift to Good and Bad News: Evidence from Voluntary Trading Disclosures in the Chinese Stock Market
    International Journal of the Economics of Business, 2016, 23, (2), 183-198
    See also Working Paper (2015)
15. Commonality in equity options liquidity: evidence from European Markets
    The European Journal of Finance, 2016, 22, (12), 1204-1223 View citations (2)
16. Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
    Quantitative Finance, 2016, 16, (12), 1901-1915 View citations (3)
17. The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
    Journal of Futures Markets, 2016, 36, (4), 397-417 View citations (3)
18. The intraday determination of liquidity in the NYSE LIFFE equity option markets
    The European Journal of Finance, 2016, 22, (12), 1164-1188 View citations (1)

2013

19. A substitution effect between price clustering and size clustering in credit default swaps
    Journal of International Financial Markets, Institutions and Money, 2013, 24, (C), 139-152 View citations (8)
20. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
    Journal of Futures Markets, 2013, 33, (1), 55-76 View citations (4)
21. Trade size clustering and the cost of trading at the London Stock Exchange
    International Review of Financial Analysis, 2013, 27, (C), 91-102 View citations (7)

2011

22. Return reversals and the compass rose: insights from high frequency options data
    The European Journal of Finance, 2011, 17, (9-10), 883-896

2010

23. Price clustering and underpricing in the IPO aftermarket
    International Review of Financial Analysis, 2010, 19, (2), 89-97 View citations (7)