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Details about Thanos Verousis

Workplace:Essex Business School, University of Essex, (more information at EDIRC)

Thanos Verousis edits the NEP report on Market Microstructure.

Access statistics for papers by Thanos Verousis.

Last updated 2018-09-20. Update your information in the RePEc Author Service.

Short-id: pve95

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Working Papers


  1. 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 Downloads
    See also Journal Article in International Journal of the Economics of Business (2016)

Journal Articles


  1. Bid–ask spread and liquidity searching behaviour of informed investors in option markets
    Finance Research Letters, 2018, 25, (C), 96-102 Downloads
  2. Cross-sectional dispersion and expected returns
    Quantitative Finance, 2018, 18, (5), 813-826 Downloads
  3. 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 Downloads View citations (1)


  1. 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 Downloads
  2. Intraday herding on a cross-border exchange
    International Review of Financial Analysis, 2017, 53, (C), 25-36 Downloads View citations (2)
  3. Multichannel contagion and systemic stabilisation strategies in interconnected financial markets
    Quantitative Finance, 2017, 17, (12), 1885-1904 Downloads


  1. Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data‐Snooping Bias
    Journal of Forecasting, 2016, 35, (1), 1-12 Downloads View citations (1)
  2. 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 Downloads
    See also Working Paper (2015)
  3. Commonality in equity options liquidity: evidence from European Markets
    The European Journal of Finance, 2016, 22, (12), 1204-1223 Downloads
  4. Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
    Quantitative Finance, 2016, 16, (12), 1901-1915 Downloads
  5. The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
    Journal of Futures Markets, 2016, 36, (4), 397-417 Downloads View citations (1)
  6. The intraday determination of liquidity in the NYSE LIFFE equity option markets
    The European Journal of Finance, 2016, 22, (12), 1164-1188 Downloads


  1. 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 Downloads View citations (3)
  2. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
    Journal of Futures Markets, 2013, 33, (1), 55-76 View citations (1)
  3. Trade size clustering and the cost of trading at the London Stock Exchange
    International Review of Financial Analysis, 2013, 27, (C), 91-102 Downloads View citations (4)


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


  1. Price clustering and underpricing in the IPO aftermarket
    International Review of Financial Analysis, 2010, 19, (2), 89-97 Downloads View citations (6)
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