Details about Roberto Pascual

Access statistics for papers by Roberto Pascual.

Last updated 2025-11-10. Update your information in the RePEc Author Service.

Short-id: ppa726

Working Papers

2009

1. What pieces of LOB information are informative? An empirical analysis of a pure order driven market
   ULB Institutional Repository, ULB -- Universite Libre de Bruxelles

2006

2. 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)

2000

3. 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)
4. 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

5. 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

2025

1. Message traffic and short-term illiquidity in high-speed markets
   Emerging Markets Review, 2025, 65, (C)

2024

2. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)

2023

3. Market-wide illiquidity and the distribution of non-parametric stochastic discount factors
   International Review of Financial Analysis, 2023, 87, (C) View citations (2)
4. Stock liquidity and algorithmic market making during the COVID-19 crisis
   Journal of Banking & Finance, 2023, 147, (C) View citations (7)
5. 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

6. Evaluating VPIN as a trigger for single-stock circuit breakers
   Journal of Banking & Finance, 2018, 86, (C), 21-36 View citations (6)

2017

7. 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

8. 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 (24)
9. The friction-free weighted price contribution
   International Review of Economics & Finance, 2015, 37, (C), 226-239 View citations (1)

2014

10. The relative contribution of ask and bid quotes to price discovery
    Journal of Financial Markets, 2014, 20, (C), 129-150 View citations (10)
11. The timeline of trading frictions in the European carbon market
    Energy Economics, 2014, 42, (C), 378-394 View citations (42)

2013

12. 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

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

2010

14. Does the Open Limit Order Book Matter in Explaining Informational Volatility?
    Journal of Financial Econometrics, 2010, 8, (1), 57-87 View citations (19)
15. SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY
    Journal of Financial Research, 2010, 33, (1), 45-75 View citations (20)

2009

16. 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

17. On the Magnet Effect of Price Limits
    European Financial Management, 2007, 13, (5), 833-852 View citations (25)

2006

18. Asymmetries in bid and ask responses to innovations in the trading process
    Empirical Economics, 2006, 30, (4), 913-946 View citations (23)
19. Cross-listing, price discovery and the informativeness of the trading process
    Journal of Financial Markets, 2006, 9, (2), 144-161 View citations (41)

2004

20. 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)
21. On the bi-dimensionality of liquidity
    The European Journal of Finance, 2004, 10, (6), 542-566 View citations (4)