Details about Roberto Pascual

Access statistics for papers by Roberto Pascual.

Last updated 2023-09-08. Update your information in the RePEc Author Service.

Short-id: ppa726

Working Papers

2021

1. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)

2012

2. The timeline of trading fricions in the European Carbon Market
   Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (3)
   See also Journal Article The timeline of trading frictions in the European carbon market, Energy Economics, Elsevier (2014) View citations (39) (2014)

2009

3. Does the open limit order book matter in explaining informational volatility?
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
   See also Journal Article Does the Open Limit Order Book Matter in Explaining Informational Volatility?, Journal of Financial Econometrics, Oxford University Press (2010) View citations (18) (2010)
4. What pieces of LOB information are informative? An empirical analysis of a pure order driven market
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2007

5. Switching to a temporary call auction in times of high uncertainty
   CNMV Working Papers, CNMV- Spanish Securities Markets Commission - Research and Statistics Department
   See also Journal Article SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY, Journal of Financial Research, Southern Finance Association (2010) View citations (19) (2010)

2006

6. Does the open limit order book matter in explaining long run volatility ?
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)

2004

7. What pieces of limit order book information are informative ?
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (14)

2003

8. CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS
   Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (17)
   Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2001) View citations (5)
   See also Journal Article Cross-listing, price discovery and the informativeness of the trading process, Journal of Financial Markets, Elsevier (2006) View citations (41) (2006)

2000

9. Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
10. BLM: bidimensional approach to measure liquidity
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa View citations (1)
11. Dynamic asymmetries in bid-ask responses to innovations in the trading process
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (2)

1999

12. How does liquidity behave? A multidimensional analysis of NYSE stocks
    DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa

Journal Articles

2023

1. Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
   International Review of Financial Analysis, 2023, 87, (C) View citations (1)
2. Stock liquidity and algorithmic market making during the COVID-19 crisis
   Journal of Banking & Finance, 2023, 147, (C) View citations (5)
3. US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks
   Journal of Empirical Finance, 2023, 72, (C), 301-320 View citations (1)

2018

4. Evaluating VPIN as a trigger for single-stock circuit breakers
   Journal of Banking & Finance, 2018, 86, (C), 21-36 View citations (5)

2017

5. Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation
   Journal of Empirical Finance, 2017, 43, (C), 74-90 View citations (3)

2015

6. Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm
   Journal of Financial Markets, 2015, 25, (C), 52-79 View citations (23)
7. The friction-free weighted price contribution
   International Review of Economics & Finance, 2015, 37, (C), 226-239 View citations (1)

2014

8. The relative contribution of ask and bid quotes to price discovery
   Journal of Financial Markets, 2014, 20, (C), 129-150 View citations (10)
9. The timeline of trading frictions in the European carbon market
   Energy Economics, 2014, 42, (C), 378-394 View citations (39)
   See also Working Paper The timeline of trading fricions in the European Carbon Market, Working Papers. Serie AD (2012) View citations (3) (2012)

2013

10. Carbon Credits: Who is the Leader of the Pack?
    International Journal of Energy Economics and Policy, 2013, 3, (3), 210-220 View citations (4)

2012

11. On the hidden side of liquidity
    The European Journal of Finance, 2012, 18, (10), 949-967 View citations (38)

2010

12. Does the Open Limit Order Book Matter in Explaining Informational Volatility?
    Journal of Financial Econometrics, 2010, 8, (1), 57-87 View citations (18)
    See also Working Paper Does the open limit order book matter in explaining informational volatility?, ULB Institutional Repository (2009) View citations (1) (2009)
13. SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY
    Journal of Financial Research, 2010, 33, (1), 45-75 View citations (19)
    See also Working Paper Switching to a temporary call auction in times of high uncertainty, CNMV Working Papers (2007) (2007)

2009

14. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
    Quantitative Finance, 2009, 9, (5), 527-545 View citations (20)

2007

15. On the Magnet Effect of Price Limits
    European Financial Management, 2007, 13, (5), 833-852 View citations (24)

2006

16. Asymmetries in bid and ask responses to innovations in the trading process
    Empirical Economics, 2006, 30, (4), 913-946 View citations (22)
    See also Chapter Asymmetries in bid and ask responses to innovations in the trading process, Studies in Empirical Economics, 2008, 49-82 (2008) (2008)
17. Cross-listing, price discovery and the informativeness of the trading process
    Journal of Financial Markets, 2006, 9, (2), 144-161 View citations (41)
    See also Working Paper CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS, Working Papers. Serie EC (2003) View citations (17) (2003)

2004

18. Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis
    Journal of Banking & Finance, 2004, 28, (1), 107-128 View citations (7)
19. On the bi-dimensionality of liquidity
    The European Journal of Finance, 2004, 10, (6), 542-566 View citations (4)

Chapters

2008

1. Asymmetries in bid and ask responses to innovations in the trading process
   Springer
   See also Journal Article Asymmetries in bid and ask responses to innovations in the trading process, Springer (2006) View citations (22) (2006)