Now showing items 1-20 of 7041

    • Fifty years of maintenance optimization: Reflections and perspectives

      Arts, Joachim; Boute, Robert; Loeys, Stijn; van Staden, Heletjé E. (European Journal of Operational Research, 2024)
      On the occasion of the 50th anniversary of the Association of European Operational Research Societies (EURO), we share our perspectives and reflections on maintenance research. We review the main methods and techniques for optimizing when and what to maintain, providing concrete examples as illustrations. We also discuss the optimization of the logistics support system surrounding the act of maintenance. In doing so, we highlight the multidisciplinary nature of maintenance research and its interface with other domains, such as spare parts inventory management, production scheduling, and transportation planning. We support our reflections with basic text-mining analyses of the archive of the European Journal of Operational Research, the journal published in collaboration with EURO. With this paper, we introduce interested researchers to maintenance optimization and share opportunities to close the gaps between the current state of research and real-world needs.
    • Project management and scheduling 2022

      Servranckx, Tom; Coelho, José; Vanhoucke, Mario (Annals of Operations Research, 2024)
      This article summarises the research studies published in the special issue on Project Management and Scheduling devoted to the 18th International Conference on Project Management and Scheduling (PMS). The special issue contains state-of-the art research in the field of (non-)robust project and machine scheduling and the contribution of each individual study to the academic literature are discussed. We notice that there is a growing interest in the research community to investigate robust scheduling approaches and optimisation problems observed in real-life business settings. This allows us to derive some interesting future research directions for the project and machine scheduling community.
    • Gender differences in hedge fund performance persistence

      Klubinski, William Joseph; Verousis, Thanos; Tsoligkas, Fanis (2022)
      This paper analyses gender differences in hedge fund (HF) performance persistence using parametric and non-parametric risk-adjusted-performance persistence indicators. We find evidence consistent with performance persistence, which in relative (risk-adjusted) terms, is more pronounced amongst females, as opposed to male managers, in short to medium-term horizons. We also, observe a complete loss of persistence for the female managers in the long term, which for the male managers prevails and continues throughout all analysed periods. The findings contribute to the debate on the existence of differences in behaviour across males and females.
    • An improved algorithm for cleaning ultrahigh frequency data

      Verousis, Thanos; Ap Gwilym, Owain (Journal of Derivatives & Hedge Funds, 2010)
      We develop a multiple-stage algorithm for detecting outliers in Ultra High-Frequency financial market data. We show that an efficient data filter needs to address four effects: the minimum tick size, the price level, the volatility of prices and the distribution of returns. We argue that previous studies tend to address only the distribution of returns, and may tend to ‘overscrub’ a data set. In this study, we address these issues in the market microstructure element of the algorithm. In the statistical element, we implement the robust median absolute deviation method to take into account the statistical properties of financial time series. The data filter is then tested against previous data-cleaning techniques and validated using a rich individual equity options transactions data set from the London International Financial Futures and Options Exchange. The paper has many relevant insights for any practitioner who uses high frequency derivatives data, for example, for market analysis or for developing trading strategies.
    • Price clustering and underpricing in the IPO aftermarket

      Ap Gwilym, Owain; Verousis, Thanos (International Review of Financial Analysis, 2010)
      This is the first paper to systematically investigate price clustering in new equity assets using a high frequency transactions dataset. We test the hypotheses that past price information and market maker activities are related to price clustering. We report that price clustering in IPOs is substantially greater than the clustering observed for non-IPO assets, which supports the hypothesis that the decision of going public is followed by haziness about the true price. Underpricing is a significant determinant of price clustering for order-book trades, which supports the notion that underpriced IPOs partially reflect price uncertainties. Tick size specifications can be restrictive for individual investors, while giving execution priority to market makers. The characteristics of price clustering for off-book trades differ substantially to price clustering in the order-book.
    • Price clustering in individual equity options: Moneyness, maturity and price level

      Ap Gwilym, Owain; Verousis, Thanos (The Journal of Futures Markets, 2013)
      Equity options have a significant influence on the price discovery process. This study presents unique evidence of substantial price clustering in individual equity options contracts. A particular contribution arises from investigating competing hypotheses on the roles of moneyness and maturity as determinants of option price clustering. We assert that options price clustering can be decomposed to price level, moneyness, and maturity effects. After controlling for other factors, price clustering has an inverse relation with time-to-maturity. This supports the negotiation hypothesis, but not the price resolution hypothesis. Price clustering also tends to be inversely related to moneyness. This effect is linked to the intrinsic value component of option price. Both the maturity and moneyness effects act in an opposite direction to what would be anticipated on the basis of price level alone; hence, these two effects are identified as additional influences on option price clustering. It is also found that the designated market maker scheme at NYSE Euronext London International Financial Futures Exchange (LIFFE) has little influence on trade price clustering.
    • Trade size clustering and the cost of trading at the London Stock Exchange

      Verousis, Thanos; Ap Gwilym, Owain (International Review of Financial Analysis, 2013)
      For the London Stock Exchange, this paper investigates differences in trading costs between market maker (off-book) and order book trades, in the context of clustering in trade sizes and prices. We report several substantial findings. Even after controlling for differences in trade size, the realised spread measure is lower for off-book trades. For the order book, trade size clustering is not associated with differences in transaction costs nor with differences in the information content of trades. For the off-book market, trades in clustered (popular) sizes carry significantly more information than non-clustered trades. Despite the significant differences in the price impact estimates between the order book and off-book, we show that traders placing large orders off-book are still better off than trading via the order book as they benefit from a large discount from the current midpoint price. Additionally, we highlight that price and size clustering tend to occur simultaneously rather than being substitutes in this market setting.
    • A substitution effect between price clustering and size clustering in credit default swaps

      Meng, Lei; Verousis, Thanos; Ap Gwilym, Owain (Journal of International Financial Markets, Institutions and Money, 2013)
      In a perfectly liquid market, investors’ optimal allocation decisions refer to maximizing all three dimensions of liquidity, namely immediacy, width and depth. To the extent that investors fail to accommodate size (depth) along with price (width) in their optimal allocation decisions, their overall costs may increase. This paper focuses on the substitution of width and depth by investigating the simultaneous determination of price clustering and size clustering in the credit default swap (CDS) market. We report strong evidence that when traders round prices they tend to quote more refined sizes, and vice versa. The findings highlight a clear trade-off between price clustering and notional amount in the CDS market, and contribute to the emerging literature on size clustering.
    • The implications of a price anchoring effect at the upstairs market of the London Stock Exchange

      Verousis, Thanos; Ap Gwilym, Owain (International Review of Financial Analysis, 2014)
      This paper studies the upstairs market of the Stock Exchange Trading System (SETS) of the London Stock Exchange (LSE). We hypothesise that the implicit interaction between the upstairs and the downstairs markets at the LSE alters the pricing mechanism at the upstairs market. We show that market makers employ “cluster undercutting” practices in the upstairs market, which are based on a notional minimum price increment and resemble an anchoring-and-adjustment effect. In particular, we report that liquidity providers consistently buy just below the implicit minimum price increment and consistently sell just above it. This finding is strongly related to stock-price momentum and periods of increased trade intensity. Overall, this effect has only a weak connection to differences in informed trading and is mostly related to the notional price barriers and resistance levels introduced by the minimum tick size of the order book.
    • Asymmetric post announcement drift to good and bad news

      Chen, XiaoHua; Solomon, Edna; Verousis, Thanos (International Journal of the Economics of Business, 2016)
      This article investigates the post-announcement drift (PAD) of stock returns in the Chinese stock market. We use a sample of voluntary trading disclosures to test the hypothesis that an asymmetric PAD exists in a market in which managers are more likely to suppress negative news. We show that a pattern of short-term momentum and long-term reversal in returns persists for up to 250 trading days following the announcement of trading statements in the Chinese stock market. This finding is stronger for positive announcements in terms of the magnitude and the variance of stock returns. Our findings are in line with both Shin’s theoretical predictions and the credibility hypothesis, in which disclosure and asset returns are jointly determined and the adoption of a “sanitisation strategy” in information disclosure generates more volatile returns for firms issuing good news. Further, we show that the latter effect is more pronounced for firms which are partially state-owned, suggesting that they potentially receive more government support, a finding which is in line with the hypothesis that the incentive to suppress negative information is related to a country’s legal/judicial system.
    • Adaptive evolutionary neural networks for forecasting and trading without a data-snooping bias

      Sermpinis, Georgios; Verousis, Thanos; Theofilatos, Konstantinos (Journal of Forecasting, 2016)
      In this paper, we present two neural-network-based techniques: an adaptive evolutionary multilayer perceptron (aDEMLP) and an adaptive evolutionary wavelet neural network (aDEWNN). The two models are applied to the task of forecasting and trading the SPDR Dow Jones Industrial Average (DIA), the iShares NYSE Composite Index Fund (NYC) and the SPDR S&P 500 (SPY) exchange-traded funds (ETFs). We benchmark their performance against two traditional MLP and WNN architectures, a smooth transition autoregressive model (STAR), a moving average convergence/divergence model (MACD) and a random walk model. We show that the proposed architectures present superior forecasting and trading performance compared to the benchmarks and are free from the limitations of the traditional neural networks such as the data-snooping bias and the time-consuming and biased processes involved in optimizing their parameters. Copyright © 2015 John Wiley & Sons, Ltd.
    • Return reversals and the compass rose: insights from high frequency options data

      Varousis, Thanos; Ap Gwilym, Owain (The European Journal of Finance, 2011)
      We study the occurrence and visibility of the compass rose pattern in high frequency data from individual equity options contracts. We show that the compass rose pattern in options contracts is more complex than portrayed in prior work with other asset classes. We find that the tick/volatility ratio proposed in prior studies gives inconclusive results on the pattern's visibility. A major contribution arises from linking the compass rose pattern with return reversals, which gives new insights into the pattern's predictability. We show that return reversals are revealed as an element of the compass rose pattern and are particularly evident at higher sampling frequencies. We study the determinants of these reversals and report that return reversals are primarily associated with high transaction frequency and decrease with the presence of additional market makers. Also, the hypothesis that there is a reaction to overnight events which is reflected in prices at the market open is not supported. Reversals are less prevalent for larger firms and when trade sizes are larger.
    • The intraday determination of liquidity in the NYSE LIFFE equity option markets

      Verousis, Thanos; Ap Gwilym, Owain; Chen, Xiao Hua (The European Journal of Finance, 2016)
      We exploit an extensive high frequency dataset of all individual equity options trading at NYSE LIFFE (Amsterdam, London and Paris) in order to study the determination of liquidity during the trading day. In particular, we focus on two main aspects of option liquidity: (i) the intraday behaviour of equity option liquidity and its determinants and (ii) the influence of macro-economic events and commonality on intraday equity option liquidity. Inventory management models cannot explain the intraday variation in option spreads and depths. Instead, we show that the option liquidity measures are strongly correlated with option volatility. Increases in volatility are associated with decreases in liquidity, a finding that is in line with information asymmetry models and the derivatives hedging theory. However, the relationship between spreads and volume varies across the three markets. Option liquidity reacts strongly to macroeconomic news announcements, especially US events. The average systematic liquidity component is 12% for Amsterdam, 14% for London and 16% for Paris
    • Commonality in equity options liquidity: Evidence from European Markets

      Verousis, Thanos; Ap Gwilym, Owain; Voukelatos, Nikolaos (European Journal of Finance, 2016)
      This paper examines commonality in liquidity for individual equity options trading in European markets. We use high-frequency data to construct a novel index of liquidity commonality. The approach is able to explain a substantial proportion of the liquidity variation across individual options. The explanatory power of the common liquidity factor is more pronounced during periods of higher market-wide implied volatility. The common factor's impact on individual options' liquidity depends on options' idiosyncratic characteristics. There is some evidence of systematic liquidity spillover effects across these European exchanges.
    • Information content of implicit spot prices embedded in single stock future prices: Evidence from Indian market

      Pathak, Rajesh; Verousis, Thanos; Chauhan, Yogesh (Journal of Emerging Market Finance, 2017)
      This study examines the information content of pricing error, measured by the difference between the implied price computed using the cost of carry model and the spot price of Single Stock Futures (SSFs), traded on National Stock Exchange (NSE), India. The returns of portfolios, based on ranking of such pricing errors, are investigated. The consistency of results is verified by controlling for established risk factors, that is, market, size, value and momentum premium, and idiosyncratic factors such as firm’s liquidity and size. Our study reveals that the pricing error is a priced risk factor that contains incremental information about stock returns of day t, and not beyond. We conclude that implied spot prices from stock futures market are useful for traders to profit in the spot market.
    • Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities

      Stasinakis, Charalampos; Sermpinis, Georgios; Psaradellis, Ioannis; Verousis, Thanos (Quantitative Finance, 2016)
      In this study, a Krill-Herd Support Vector Regression (KH-vSVR) model is introduced. The Krill Herd (KH) algorithm is a novel metaheuristic optimization technique inspired by the behaviour of krill herds. The KH optimizes the SVR parameters by balancing the search between local and global optima. The proposed model is applied to the task of forecasting and trading three commodity exchange traded funds on a daily basis over the period 2012–2014. The inputs of the KH-vSVR models are selected through the model confidence set from a large pool of linear predictors. The KH-vSVR’s statistical and trading performance is benchmarked against traditionally adjusted SVR structures and the best linear predictor. In addition to a simple strategy, a time-varying leverage trading strategy is applied based on heterogeneous autoregressive volatility estimations. It is shown that the KH-vSVR outperforms its counterparts in terms of statistical accuracy and trading efficiency, while the leverage strategy is found to be successful.
    • Multichannel contagion and systemic stabilisation strategies in interconnected financial markets

      Sergueiva, Antoaneta; Chinthalapati, Raju; Verousis, Thanos; Chen, Louisa (Quantitative Finance, 2017)
      To date, existing studies that use multilayer networks, in their multiplex form, to analyse the structure of financial systems, have (i) considered the structure as a non-interconnected multiplex network, (ii) no mechanism of multichannel contagion has been modelled and empirically evaluated and (iii) no multichannel stabilisation strategies for pre-emptive contagion containment have been designed. This paper formulates an interconnected multiplex structure, and a contagion mechanism among financial institutions due to bilateral exposures arising from institutions’ activity within different interconnected markets that compose the overall financial market. We design minimum-cost stabilisation strategies that act simultaneously on different markets and their interconnections, in order to effectively contain potential contagion progressing through the overall structure. The empirical simulations confirm their capability for containing contagion. The potential for multichannel contagion through the multiplex contributes more to systemic fragility than single-channel contagion, however, multichannel stabilisation also contributes more to systemic resilience than single-channel stabilisation.
    • Intraday herding on a cross-border exchange

      Andrikopoulos, Panagiotis; Kallinterakis, Vasileios; Leite Ferreira, Mario Pedro; Verousis, Thanos (International Review of Financial Analysis, 2017)
      This study investigates intraday herding on the Euronext, the world's first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets significantly affect each other and can, in the case of the Netherlands, promote herding formation. Intraday herding is found to be significant before, during and after the 2007–09 financial crisis period, with its presence appearing the least strong during the crisis. Overall, we demonstrate for the first time in the literature that cross-border exchanges harbour versatile herding dynamics at intraday level, a finding which reflects recent advances in financial technology and the ongoing financial integration in Europe.
    • A contingent claims approach to the determinants of the stock-bond return relationship

      Chen, Louisa; Verousis, Thanos (International Journal of Banking, Accounting and Finance, 2018)
      This paper decomposes the two effects on a firm's stock and bond returns - the effect of firm's future cash flow and the effect of business risk to study the relationship between the returns of stocks and bonds issued by the same firm. Based on the contingent claims option pricing theory, we employ the firm-level data and an event study methodology, and generate hypotheses regarding the stock-bond return relationship. We show that, by controlling for firm's leverage and firm's future cash flow has a simultaneous positive effect on the firm's stock and bond returns, whereas firm's business risk has a decoupling effect on stock and bond returns. In addition, we provide evidence for the 'flight to quality' hypothesis at a firm-specific level. Our findings complement the literature of stock and bond correlation within a theoretical framework.
    • One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations

      Verousis, Thanos; Perotti, Pietro; Sermpinis, Georgios (Review of Quantitative Finance and Accounting, 2018)
      This paper offers a systematic review of the empirical literature on the implications of tick size changes for exchanges. Our focus is twofold: first, we are concerned with the market quality implications of a change in the minimum tick size. Second, we are interested in the implications of changes in the minimum tick size on market structure. We show that there is a large body of empirical literature that documents a decrease in transaction costs following a decrease in the minimum tick size. However, even though market liquidity increases, the incentive to provide market making activities decreases. We document a strong link between the minimum tick size regulations and the recent increase in high frequency trading activity. A smaller tick enhances the price discovery process. However, the question of how multiple tick size regimes affect market liquidity in a fragmented market remains to be answered. Finally, we identify topics for future research; we discuss the empirical literature on the minimum trade unit and the recent calls for a minimum resting time for quotes.