Thanos Verousis

Essex Business School

Senior Lecturer in Finance

United Kingdom

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 45,719

SSRN RANKINGS

Top 45,719

in Total Papers Downloads

966

SSRN CITATIONS
Rank 47,382

SSRN RANKINGS

Top 47,382

in Total Papers Citations

7

CROSSREF CITATIONS

4

Scholarly Papers (14)

1.

Cross-Sectional Dispersion and Expected Returns

Number of pages: 33 Posted: 20 Feb 2016
Thanos Verousis and Nikolaos Voukelatos
Essex Business School and University of Kent
Downloads 395 (78,182)
Citation 6

Abstract:

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Cross-sectional dispersion, cross-section of stock returns, pricing factor

2.

What Do We Know About Individual Equity Options?

Number of pages: 54 Posted: 27 Feb 2019 Last Revised: 11 Aug 2019
Universidad de Chile, Essex Business School, University of Kent and University of Newcastle
Downloads 159 (197,004)

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equity options, empirical studies, literature survey

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, Forthcoming
Number of pages: 44 Posted: 20 Mar 2017 Last Revised: 21 Mar 2017
Thanos Verousis, Pietro Perotti and Georgios Sermpinis
Essex Business School, University of Bath - School of Management and University of Glasgow
Downloads 112 (257,553)
Citation 1

Abstract:

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tick size, market quality, microstructure, high frequency trading, trading costs, minimum trading unit

4.

The Microstructure of Individual Equity Options: Firm-Level and Common Effects on Liquidity

Number of pages: 42 Posted: 27 May 2013
Thanos Verousis and Owain Ap Gwilym
Essex Business School and Bangor Business School
Downloads 93 (292,189)
Citation 1

Abstract:

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market microstructure, LIFFE, options, liquidity, bid-ask spread

5.

The Determinants of Dim Sum Bond Liquidity

Number of pages: 1 Posted: 30 Jan 2015
Lei Meng and Thanos Verousis
East China University of Science and Technology (ECUST) and Essex Business School
Downloads 84 (311,322)

Abstract:

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Dim Sum bond, offshore Chinese yuan, liquidity, bid-ask spread

6.

The Impact of a Premium Based Tick Size on Equity Option Liquidity

Number of pages: 38 Posted: 22 Sep 2014
Thanos Verousis, Owain Ap Gwilym and Nikolaos Voukelatos
Essex Business School, Bangor Business School and University of Kent
Downloads 46 (422,124)
Citation 2

Abstract:

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Liquidity, Tick Size, PBTS, Equity options, Amsterdam LIFFE

7.

Hedge Fund Performance Persistence: Do the Country of Domicile and the Investment Strategy Matter?

Number of pages: 42 Posted: 21 Jun 2019
William Joseph Klubinski and Thanos Verousis
Essex Business School and Essex Business School
Downloads 43 (433,580)

Abstract:

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hedge funds, persistence, performance

8.

Do Investors Follow the Herd in Option Markets?

Number of pages: 44 Posted: 27 Feb 2019
Universidad de Chile, Essex Business School and University of Kent
Downloads 20 (547,737)
Citation 1

Abstract:

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Herding, Cross-Sectional Dispersion, Options

9.

Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets

Number of pages: 16 Posted: 27 Feb 2019
Alejandro Bernales, Carlos Cañón and Thanos Verousis
Universidad de Chile, Banco de México and Essex Business School
Downloads 14 (592,030)
Citation 1

Abstract:

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stock options, option listings, informed trading

10.

Intraday Herding on a Cross-Border Exchange

International Review of Financial Analysis, Vol. 53, 25-36
Posted: 28 Oct 2017
Centre for Financial and Corporate Integrity (CFCI), Coventry University, Durham Business School, Catholic University of Portugal (UCP) - Department Economics and Finance and Essex Business School

Abstract:

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Tick data, Intraday herding, Cross-border groups, Euronext

11.

A Conditional Fuzzy Inference Approach in Forecasting

European Journal of Operational Research, Forthcoming
Posted: 25 Mar 2017 Last Revised: 05 Nov 2019
University of Bath - School of Management, University of Glasgow, University of Glasgow and Essex Business School

Abstract:

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Forecasting; Conditional Fuzzy Inference; Fuzzy Rules; Classification

12.

Price Clustering and Under-Pricing in the IPO Aftermarket

International Review of Financial Analysis, Vol. 19, No. 2, pp. 89-97, 2010
Posted: 27 Apr 2011
Owain Ap Gwilym and Thanos Verousis
Bangor Business School and Essex Business School

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13.

Return Reversals and the Compass Rose: Insights from High Frequency Options Data

European Journal of Finance, Forthcoming
Posted: 27 Apr 2011
Thanos Verousis and Owain Ap Gwilym
Essex Business School and Bangor Business School

Abstract:

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compass rose, high frequency data, return reversals, equity options

14.

An Improved Algorithm for Cleaning Ultrahigh Frequency Data

Journal of Derivatives and Hedge Funds, Vol. 15, No. 4, pp. 323-340, 2010
Posted: 27 Apr 2011
Thanos Verousis and Owain Ap Gwilym
Essex Business School and Bangor Business School

Abstract:

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Ultra High Frequency, data mining and cleaning, equity options, LIFFE