Items where Author is "ap Gwilym, Owain"

Article

Verousis, Thanos and ap Gwilym, Owain and Voukelatos, Nikolaos (2016) Commonality in equity options liquidity: evidence from European Markets. The European Journal of Finance, 22 (12). pp. 1204-1223. DOI https://doi.org/10.1080/1351847X.2016.1188836

Verousis, Thanos and ap Gwilym, Owain and Chen, XiaoHua (2016) The intraday determination of liquidity in the NYSE LIFFE equity option markets. The European Journal of Finance, 22 (12). pp. 1164-1188. DOI https://doi.org/10.1080/1351847x.2015.1019642

Verousis, Thanos and ap Gwilym, Owain and Voukelatos, Nikolaos (2016) The Impact of a Premium-Based Tick Size on Equity Option Liquidity. Journal of Futures Markets, 36 (4). pp. 397-417. DOI https://doi.org/10.1002/fut.21734

Verousis, Thanos and ap Gwilym, Owain (2014) The implications of a price anchoring effect at the upstairs market of the London Stock Exchange. International Review of Financial Analysis, 32. pp. 37-46. DOI https://doi.org/10.1016/j.irfa.2013.12.001

Verousis, Thanos and ap Gwilym, Owain (2013) Trade size clustering and the cost of trading at the London Stock Exchange. International Review of Financial Analysis, 27. pp. 91-102. DOI https://doi.org/10.1016/j.irfa.2012.08.007

Meng, Lei and Verousis, Thanos and ap Gwilym, Owain (2013) A substitution effect between price clustering and size clustering in credit default swaps. Journal of International Financial Markets, Institutions and Money, 24 (1). pp. 139-152. DOI https://doi.org/10.1016/j.intfin.2012.11.011

ap Gwilym, Owain and Verousis, Thanos (2013) Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level. Journal of Futures Markets, 33 (1). pp. 55-76. DOI https://doi.org/10.1002/fut.21547

Verousis, Thanos and ap Gwilym, Owain (2011) Return reversals and the compass rose: insights from high frequency options data. The European Journal of Finance, 17 (9-10). pp. 883-896. DOI https://doi.org/10.1080/1351847x.2010.538524

ap Gwilym, Owain and Verousis, Thanos (2010) Price clustering and underpricing in the IPO aftermarket. International Review of Financial Analysis, 19 (2). pp. 89-97. DOI https://doi.org/10.1016/j.irfa.2010.01.007

Verousis, Thanos and ap Gwilym, Owain (2010) An improved algorithm for cleaning Ultra High-Frequency data. Journal of Derivatives and Hedge Funds, 15 (4). pp. 323-340. DOI https://doi.org/10.1057/jdhf.2009.16

Book Section

Verousis, Thanos and ap Gwilym, Owain (2013) Return reversals and the compass rose: insights from high frequency options data. In: Contemporary Issues in Financial Institutions and Markets (vol 1). Routledge. ISBN 9780415645133. Official URL: https://www.routledge.com/product/isbn/97804156451...