Details about Thanos Verousis

Thanos Verousis edits the NEP report on Market Microstructure.

Access statistics for papers by Thanos Verousis.

Last updated 2024-10-09. Update your information in the RePEc Author Service.

Short-id: pve95

Working Papers

2024

1. High Frequency Trading and Stock Herding
   Essex Finance Centre Working Papers, University of Essex, Essex Business School
2. Nonstandard errors
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
   Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Lund University, Department of Economics (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) (2024)

2022

3. Information and the arrival rate of option trading volume
   Post-Print, HAL View citations (1)
   See also Journal Article Information and the arrival rate of option trading volume, Journal of Futures Markets, John Wiley & Sons, Ltd. (2022) View citations (1) (2022)

2021

4. On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects
   MPRA Paper, University Library of Munich, Germany

2015

5. 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 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, Taylor & Francis Journals (2016) (2016)

Journal Articles

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390
   See also Working Paper Nonstandard errors, LSE Research Online Documents on Economics (2024) (2024)
2. Vice-chancellor narcissism and university performance
   Research Policy, 2024, 53, (1)

2023

3. Financial stress and commodity price volatility
   Energy Economics, 2023, 125, (C) View citations (3)
4. LGBTQ and finance
   International Review of Financial Analysis, 2023, 86, (C)

2022

5. Behavioural finance and cryptocurrencies
   Review of Behavioral Finance, 2022, 14, (4), 545-562 View citations (1)
6. 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 Information and the arrival rate of option trading volume, Post-Print (2022) View citations (1) (2022)

2021

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

2020

8. A conditional fuzzy inference approach in forecasting
   European Journal of Operational Research, 2020, 283, (1), 196-216 View citations (1)
9. Do investors follow the herd in option markets?
   Journal of Banking & Finance, 2020, 119, (C) View citations (9)
10. What do we know about individual equity options?
    Journal of Futures Markets, 2020, 40, (1), 67-91 View citations (1)

2019

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

2018

12. A contingent claims approach to the determinants of the stock-bond return relationship
    International Journal of Banking, Accounting and Finance, 2018, 9, (1), 1-18
13. Bid–ask spread and liquidity searching behaviour of informed investors in option markets
    Finance Research Letters, 2018, 25, (C), 96-102 View citations (3)
14. Cross-sectional dispersion and expected returns
    Quantitative Finance, 2018, 18, (5), 813-826 View citations (6)
15. 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 (9)

2017

16. 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)
17. Intraday herding on a cross-border exchange
    International Review of Financial Analysis, 2017, 53, (C), 25-36 View citations (13)
18. Multichannel contagion and systemic stabilisation strategies in interconnected financial markets
    Quantitative Finance, 2017, 17, (12), 1885-1904

2016

19. Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data‐Snooping Bias
    Journal of Forecasting, 2016, 35, (1), 1-12 View citations (5)
20. 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 Asymmetric post-announcement drift to good and bad news: evidence from voluntary trading disclosures in the Chinese stock market, Greenwich Papers in Political Economy (2015) (2015)
21. Commonality in equity options liquidity: evidence from European Markets
    The European Journal of Finance, 2016, 22, (12), 1204-1223 View citations (2)
22. 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)
23. The Impact of a Premium‐Based Tick Size on Equity Option Liquidity
    Journal of Futures Markets, 2016, 36, (4), 397-417 View citations (3)
24. 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

25. 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)
26. Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
    Journal of Futures Markets, 2013, 33, (1), 55-76 View citations (4)
27. 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 (8)

2011

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

2010

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