Dr Thanos Verousis
Senior Lecturer in Accounting & Finance
- Email: email@example.com
- Telephone: +44 (0) 191 208 1718
I am a Senior Lecturer (Associate Professor) in Finance at Newcastle University Business School. I hold a PhD in the Microstructure of Financial Markets from the University of Wales.
I have published work in leading academic journals, including the Journal of Banking and Finance, Quantitative Finance, the Journal of Futures Markets, the Journal of International Financial Markets, Institutions and Money, the European Journal of Finance and the International Review of Financial Analysis.
Empirical market microstructure, equity options, high frequency finance, financial innovation, empirical behavioral finance
For more information, please visit my personal website.
I currently teach the following modules:
- Finance and Investment (MBA)
- International Finance and Financial Markets (UG)
Office hours: by appointment
- Bernales A, Cañón C, Verousis T. Bid-Ask Spread and Liquidity Searching Behaviour of Informed Investors in Option Markets. Finance Research Letters 2017, (ePub ahead of Print).
- Verousis T, Voukelatos N. Cross-sectional dispersion and expected returns. Quantitative Finance 2018, epub ahead of print.
- Andrikopoulos P, Kallinterakis B, Ferreira M, Verousis T. Intraday Herding on a Cross-Border Exchange. International Review of Financial Analysis 2017, 53, 25-36.
- Verousis T, Perotti P, Sermpinis G. 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 2017, Epub ahead of print.
- Sergueiva A, Chinthalapati R, Verousis T, Chen L. Multichannel contagion and systemic stabilisation strategies in interconnected financial markets. Quantitative Finance 2017, 17(12), 1885-1904.
- Bernales A, Verousis T, Voukelatos N. Do Investors Follow the Herd in Option Markets?. Journal of Banking and Finance 2016, (ePub ahead of Print).
- Chen L, Verousis T. A contingent claims approach to the determinants of the stock-bond return relationship. International Journal of Banking, Accounting and Finance 2017, 9(1), 1-18.
- Stasinakis C, Sermpinis G, Psaradellis I, Verousis T. Krill herd support vector regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities. Quantitative Finance 2016, (ePub ahead of print).
- Verousis T, Pathak R, Chauhan Y. Information Content of Implicit Spot Prices Embedded in Single Stock Future Price. Journal of Emerging Market Finance 2016. In Press.
- Verousis T, ap Gwilym O, Voukelatos N. Commonality in equity options liquidity: Evidence from European Markets. European Journal of Finance 2016, 22(12), 1204-1223.
- Verousis T, ap Gwilym O, Voukelatos N. The impact of a Premium Based Tick Size on equity options liquidity. Journal of Futures Markets 2016, 36(4), 397–417.
- Verousis T, ap Gwilym O, Chen X. The intraday determination of liquidity in the NYSE LIFFE equity option markets. European Journal of Finance 2016, 22(12), 1164-1188.
- Chen X, Solomon E, Verousis T. Asymmetric Post-Announcement Drift to Good and Bad News: Evidence from Voluntary Trading Disclosures in the Chinese Stock Market. International Journal of Economics of Business 2016, 23(2), 183-198.
- Sermpinis G, Verousis T, Konstantinos T. Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data-Snooping Bias. Journal of Forecasting 2016, 35(1), 1-12.
- Verousis T, ap Gwilym O. The implications of a price anchoring effect at the upstairs market of the London Stock Exchange. International Review of Financial Analysis 2014, 32(1), 37-46.
- Meng L, Verousis T, ap Gwilym O. A substitution effect between price clustering and size clustering in credit default swaps. Journal of International Financial Markets, Institutions & Money 2013, 24(13), 139-152.
- Verousis T. Bid-ask Spreads, Commissions, and Other Costs. In: K. Baker and H. Kiymaz, ed. Market Microstructure in Emerging and Developed Markets. 2013.
- ap Gwilym O, Verousis T. Price Clustering in Individual Equity Options: Moneyness, Maturity and Price Level. Journal of Futures Markets 2013, 33(1), 55-76.
- Verousis T, apGwilym O. Return reversals and the compass rose: insights from high frequency options data. In: J. Wilson, B. Casu, D. McMillan, ed. Contemporary Issues in Financial Institutions and Markets. 2013.
- Verousis T, ap Gwilym O. Trade size clustering and the cost of trading at the London Stock Exchange. International Review of Financial Analysis 2013, 27(13), 91-102.
- Verousis T, ap Gwilym O. Return reversals and the compass rose: insights from high frequency options data. European Journal of Finance 2011, 17(9-10), 883-896.
- ap Gwilym O, Verousis T. Price clustering and underpricing in the IPO aftermarket. International Review of Financial Analysis 2010, 19(2), 89-97.
- Verousis T, ap Gwilym O. An improved algorithm for cleaning ultrahigh frequency data. Journal of Derivatives and Hedge Funds 2010, 15(4), 323-340.