EconPapers    
Economics at your fingertips  
 

Details about Roberto Pascual

Homepage:http://dee.uib.es/rpascual/
Workplace:Departament d'Economía de l'Empresa (Department of Business Economics), Facultat de Ciències Econòmiques i Empresarials (Faculty of Economics and Business), Universitat de les Illes Balears (University of the Balearic Islands), (more information at EDIRC)

Access statistics for papers by Roberto Pascual.

Last updated 2015-07-13. Update your information in the RePEc Author Service.

Short-id: ppa726


Jump to Journal Articles Chapters

Working Papers

2012

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

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

  1. 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) Downloads View citations (5)

2004

  1. What pieces of limit order book information are informative ?
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (13)

2003

  1. CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS
    Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads View citations (17)
    Also in DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa (2001) Downloads View citations (1)

    See also Journal Article in Journal of Financial Markets (2006)

Journal Articles

2015

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

2014

  1. The relative contribution of ask and bid quotes to price discovery
    Journal of Financial Markets, 2014, 20, (C), 129-150 Downloads View citations (4)
  2. The timeline of trading frictions in the European carbon market
    Energy Economics, 2014, 42, (C), 378-394 Downloads View citations (33)
    See also Working Paper (2012)

2013

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

2012

  1. On the hidden side of liquidity
    The European Journal of Finance, 2012, 18, (10), 949-967 Downloads View citations (35)

2010

  1. Does the Open Limit Order Book Matter in Explaining Informational Volatility?
    Journal of Financial Econometrics, 2010, 8, (1), 57-87 Downloads View citations (14)
  2. SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY
    Journal of Financial Research, 2010, 33, (1), 45-75 Downloads View citations (17)

2009

  1. What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
    Quantitative Finance, 2009, 9, (5), 527-545 Downloads View citations (17)

2007

  1. On the Magnet Effect of Price Limits
    European Financial Management, 2007, 13, (5), 833-852 Downloads View citations (20)

2006

  1. Asymmetries in bid and ask responses to innovations in the trading process
    Empirical Economics, 2006, 30, (4), 913-946 Downloads View citations (19)
  2. Cross-listing, price discovery and the informativeness of the trading process
    Journal of Financial Markets, 2006, 9, (2), 144-161 Downloads View citations (30)
    See also Working Paper (2003)

2004

  1. Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis
    Journal of Banking & Finance, 2004, 28, (1), 107-128 Downloads View citations (7)
  2. On the bi-dimensionality of liquidity
    The European Journal of Finance, 2004, 10, (6), 542-566 Downloads View citations (3)

Chapters

 
Page updated 2021-10-14