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Details about Thanos Verousis

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

Short-id: pve95

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Working Papers


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


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


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


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


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


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


  1. Bid–ask spread and liquidity searching behaviour of informed investors in option markets
    Finance Research Letters, 2018, 25, (C), 96-102 Downloads View citations (2)
  2. Cross-sectional dispersion and expected returns
    Quantitative Finance, 2018, 18, (5), 813-826 Downloads View citations (5)
  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 (8)


  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 View citations (1)
  2. Intraday herding on a cross-border exchange
    International Review of Financial Analysis, 2017, 53, (C), 25-36 Downloads View citations (9)
  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 (3)
  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 View citations (2)
  4. Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities
    Quantitative Finance, 2016, 16, (12), 1901-1915 Downloads View citations (3)
  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 (3)
  6. The intraday determination of liquidity in the NYSE LIFFE equity option markets
    The European Journal of Finance, 2016, 22, (12), 1164-1188 Downloads View citations (1)


  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 (8)
  2. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
    Journal of Futures Markets, 2013, 33, (1), 55-76 View citations (4)
  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 (7)


  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 (7)
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