Dr Thanos Verousis

EBS - Finance
Dr Thanos Verousis



Dr Thanos Verousis is a Reader in Finance at Essex Business School. Thanos specializes in the study of financial markets and market microstructure. His main contribution is understanding investor behavior with respect to (i) changes in exchange market structures and (ii) departures from the classical rational expectations theory. ​ He has previously held positions at Newcastle University Business School, the University of Bath School of Management, Bangor Business School and Swansea University Management School. He has published work in empirical market microstructure, especially around the microstructure of individual equity options, high frequency finance, behavioral finance, asset pricing and forecasting. His work has appeared in journals such as the European Journal of Operational Research, the Journal of Banking and Finance, Quantitative Finance, the Journal of Futures Markets and the Journal of International Financial Markets, Institutions and Money. He has received funding from a large UK bank and the ESRC and has acted as an expert witness in a legal case on financial regulation.


  • PhD University of Wales, (2009)

  • MRes (Econ) University of Wales, (2005)

  • BSc (Hons) Panteion University of Athens, (2004)

Research and professional activities

Research interests

Equity options

Open to supervise

Market microstructure

Open to supervise

Empirical behavioral finance

Open to supervise

Exchange market structures

Open to supervise

Teaching and supervision

Current teaching responsibilities

  • Options and Futures (BE332)

  • Behavioural Finance (BE357)

  • Data Analytics in Finance (BE367)

  • Risk Management and Financial Institutions (BE631)

  • Finance Research Project (BE937)

  • Student Success Tutorial (BE916)

Previous supervision

Mengyu Zhang
Mengyu Zhang
Thesis title: Essays on the Microstructure of US Equity Options
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 23/1/2020


Journal articles (24)

Bernales, A., Verousis, T. and Voukelatos, N., (2020). Do investors follow the herd in option markets?. Journal of Banking and Finance. 119, 104899-104899

Bernales, A., Verousis, T., Voukelatos, N. and Zhang, M., (2020). What do we know about individual equity options?. Journal of Futures Markets. 40 (1), 67-91

Hassanniakalager, A., Sermpinis, G., Stasinakis, C. and Verousis, T., (2020). A Conditional Fuzzy Inference Approach in Forecasting. European Journal of Operational Research. 283 (1), 196-216

Voukelatos, N. and Verousis, T., (2019). Option-implied information and stock herding. International Journal of Finance and Economics. 24 (4), 1429-1442

Chen, L. and Verousis, T., (2018). A contingent claims approach to the determinants of the stock-bond return relationship. International Journal of Banking, Accounting and Finance. 9 (1), 1-1

Verousis, T. and Voukelatos, N., (2018). Cross-sectional dispersion and expected returns. Quantitative Finance. 18 (5), 813-826

Bernales, A., Cañón, C. and Verousis, T., (2018). Bid–ask spread and liquidity searching behaviour of informed investors in option markets. Finance Research Letters. 25, 96-102

Verousis, T., Perotti, P. and Sermpinis, G., (2018). 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. 50 (2), 353-392

Sergueiva, A., Chinthalapati, VLR., Verousis, T. and Chen, L., (2017). Multichannel contagion and systemic stabilisation strategies in interconnected financial markets. Quantitative Finance. 17 (12), 1885-1904

Andrikopoulos, P., Kallinterakis, V., Leite Ferreira, MP. and Verousis, T., (2017). Intraday herding on a cross-border exchange. International Review of Financial Analysis. 53, 25-36

Pathak, R., Verousis, T. and Chauhan, Y., (2017). Information Content of Implicit Spot Prices Embedded in Single Stock Future Prices: Evidence from Indian Market. Journal of Emerging Market Finance. 16 (2), 169-187

Stasinakis, C., Sermpinis, G., Psaradellis, I. and Verousis, T., (2016). Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities. Quantitative Finance. 16 (12), 1901-1915

Verousis, T., ap Gwilym, O. and Voukelatos, N., (2016). The Impact of a Premium-Based Tick Size on Equity Option Liquidity. Journal of Futures Markets. 36 (4), 397-417

Verousis, T., ap Gwilym, O. and Voukelatos, N., (2016). Commonality in equity options liquidity: evidence from European Markets. The European Journal of Finance. 22 (12), 1204-1223

Sermpinis, G., Verousis, T. and Theofilatos, K., (2016). Adaptive Evolutionary Neural Networks for Forecasting and Trading without a Data-Snooping Bias. Journal of Forecasting. 35 (1), 1-12

Chen, X., Solomon, E. and Verousis, T., (2016). 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. 23 (2), 183-198

Verousis, T., ap Gwilym, O. and Chen, X., (2016). The intraday determination of liquidity in the NYSE LIFFE equity option markets. The European Journal of Finance. 22 (12), 1164-1188

Verousis, T. and ap Gwilym, O., (2014). The implications of a price anchoring effect at the upstairs market of the London Stock Exchange. International Review of Financial Analysis. 32, 37-46

Verousis, T. and ap Gwilym, O., (2013). Trade size clustering and the cost of trading at the London Stock Exchange. International Review of Financial Analysis. 27, 91-102

Meng, L., Verousis, T. and ap Gwilym, O., (2013). A substitution effect between price clustering and size clustering in credit default swaps. Journal of International Financial Markets, Institutions and Money. 24 (1), 139-152

ap Gwilym, O. and Verousis, T., (2013). Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level. Journal of Futures Markets. 33 (1), 55-76

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

Verousis, T. and ap Gwilym, O., (2010). An improved algorithm for cleaning Ultra High-Frequency data. Journal of Derivatives and Hedge Funds. 15 (4), 323-340

ap Gwilym, O. and Verousis, T., (2010). Price clustering and underpricing in the IPO aftermarket. International Review of Financial Analysis. 19 (2), 89-97

Book chapters (4)

Verousis, A. and Klubinski, W., Hedge Fund Performance Persistence: Do the country of domicile and the investment strategy matter?. In: Risk Modelling and Management

Verousis, T., (2013). Bid-ask Spreads, Commissions, and Other Costs. In: Market Microstructure in Emerging and Developed Markets. Editors: Baker, HK. and Kiymaz, H., . Wiley. 325- 343. 9781118278444

Verousis, T. and ap Gwilym, O., (2013). Return reversals and the compass rose: insights from high frequency options data. In: Contemporary Issues in Financial Institutions and Markets (vol 1). Editors: Wilson, JOS., Casu, B. and McMillan, D., . Routledge. 9780415645133

Verousis, A., (2009). "The FTSE Group"; "Diversifying investments"; "The Interbank Market"; "Currency Zones"; "Currency Speculators". In: Encyclopaedia of Business in Today's World. Editors: Wankel, C., . Thousand Oaks: SAGE Publications. 141296427X. 978-1412964272

Grants and funding


Vice Chancellor narcissism and university performance

British Academy


Factors Influencing consumer's decision to select cash as payment method

National Westminster Bank

+44 (0) 1206 873844


EBS.3.17, Colchester Campus