ROBERTO PASCUAL
Names
| first: |
ROBERTO |
| last: |
PASCUAL |
Identifer
Contact
Affiliations
-
Universitat de les Illes Balears
/ Facultat de Ciències Econòmiques i Empresarials
/ Departament d'Economía de l'Empresa
Research profile
author of:
- On the Magnet Effect of Price Limits (RePEc:bla:eufman:v:13:y:2007:i:5:p:833-852)
by David Abad & Roberto Pascual - Switching To A Temporary Call Auction In Times Of High Uncertainty (RePEc:bla:jfnres:v:33:y:2010:i:1:p:45-75)
by David Abad & Roberto Pascual - Switching to a temporary call auction in times of high uncertainty (RePEc:cnv:wpaper:dt_19en)
by David Abad & Roberto Pascual - What pieces of limit order book information are informative ? (RePEc:cor:louvco:2004033)
by PASCUAL, Roberto & VEREDAS, David - Does the open limit order book matter in explaining long run volatility ? (RePEc:cor:louvco:2006110)
by PASCUAL, Roberto & VEREDAS, David - How does liquidity behave? A multidimensional analysis of NYSE stocks (RePEc:cte:wbrepe:6433)
by Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel - BLM: bidimensional approach to measure liquidity (RePEc:cte:wbrepe:9958)
by Pascual, Roberto & Tapia, Mikel & Escribano, Álvaro - Cross-listing, price discovery and the informativeness of the trading process (RePEc:cte:wbrepe:wb014511)
by Pascual, Roberto & Pascual Fuste, Bartolomé & Climent, Francisco - Dynamic asymmetries in bid-ask responses to innovations in the trading process (RePEc:cte:werepe:7271)
by Escribano, Álvaro & Pascual, Roberto - Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context (RePEc:cte:werepe:7276)
by Pascual, Roberto & Escribano, Álvaro & Tapia, Mikel - Carbon Credits: Who is the Leader of the Pack? (RePEc:eco:journ2:2013-03-2)
by Vicente Medina & Angel Pardo & Roberto Pascual - Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation (RePEc:eee:empfin:v:43:y:2017:i:c:p:74-90)
by Chakrabarty, Bidisha & Moulton, Pamela C. & Pascual, Roberto - US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks (RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320)
by Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto - The timeline of trading frictions in the European carbon market (RePEc:eee:eneeco:v:42:y:2014:i:c:p:378-394)
by Medina, Vicente & Pardo, Ángel & Pascual, Roberto - Market-wide illiquidity and the distribution of non-parametric stochastic discount factors (RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001667)
by Abad, David & Nieto, Belén & Pascual, Roberto & Rubio, Gonzalo - The relative contribution of ask and bid quotes to price discovery (RePEc:eee:finmar:v:20:y:2014:i:c:p:129-150)
by Pascual, Roberto & Pascual-Fuster, Bartolomé - Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm (RePEc:eee:finmar:v:25:y:2015:i:c:p:52-79)
by Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy - Cross-listing, price discovery and the informativeness of the trading process (RePEc:eee:finmar:v:9:y:2006:i:2:p:144-161)
by Pascual, Roberto & Pascual-Fuster, Bartolome & Climent, Francisco - Stock liquidity and algorithmic market making during the COVID-19 crisis (RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622000152)
by Chakrabarty, Bidisha & Pascual, Roberto - Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis (RePEc:eee:jbfina:v:28:y:2004:i:1:p:107-128)
by Pascual, Roberto & Escribano, Alvaro & Tapia, Mikel - Evaluating VPIN as a trigger for single-stock circuit breakers (RePEc:eee:jbfina:v:86:y:2018:i:c:p:21-36)
by Abad, David & Massot, Magdalena & Pascual, Roberto - The friction-free weighted price contribution (RePEc:eee:reveco:v:37:y:2015:i:c:p:226-239)
by Abad, David & Pascual, Roberto - Non-Standard Errors (RePEc:grz:wpsses:2021-08)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To - Non-Standard Errors (RePEc:inn:wpaper:2021-31)
by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi - The timeline of trading fricions in the European Carbon Market (RePEc:ivi:wpasad:2012-05)
by Vicente Medina Martínez & Ángel Pardo Tornero & Roberto Pascual - Cross-Listing, Price Discovery And The Informativeness Of The Trading Process (RePEc:ivi:wpasec:2003-21)
by Bartolomé Pascual-Fuster & Francisco Climent & Roberto Pascual - Does the Open Limit Order Book Matter in Explaining Informational Volatility? (RePEc:oup:jfinec:v:8:y:2010:i:1:p:57-87)
by Roberto Pascual & David Veredas - Asymmetries in bid and ask responses to innovations in the trading process (RePEc:spr:empeco:v:30:y:2006:i:4:p:913-946)
by Alvaro Escribano & Roberto Pascual - Asymmetries in bid and ask responses to innovations in the trading process (RePEc:spr:stecpp:978-3-7908-1992-2_4)
by Alvaro Escribano & Roberto Pascual - On the bi-dimensionality of liquidity (RePEc:taf:eurjfi:v:10:y:2004:i:6:p:542-566)
by Roberto Pascual & Alvaro Escribano & Mikel Tapia - On the hidden side of liquidity (RePEc:taf:eurjfi:v:18:y:2012:i:10:p:949-967)
by Angel Pardo & Roberto Pascual - What pieces of limit order book information matter in explaining order choice by patient and impatient traders? (RePEc:taf:quantf:v:9:y:2009:i:5:p:527-545)
by Roberto Pascual & David Veredas - What pieces of LOB information are informative? An empirical analysis of a pure order driven market (RePEc:ulb:ulbeco:2013/136193)
by Roberto Pascual & David Veredas - Does the open limit order book matter in explaining informational volatility? (RePEc:ulb:ulbeco:2013/183777)
by Roberto Pascual & David Veredas