Roberto Pascual

Universidad de las Islas Baleares

Ctra. de Valldemossa km 7,5

Departamento de Economia y Empresa

Palma, Baleares

Spain

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 5,655

SSRN RANKINGS

Top 5,655

in Total Papers Downloads

9,988

SSRN CITATIONS
Rank 15,042

SSRN RANKINGS

Top 15,042

in Total Papers Citations

48

CROSSREF CITATIONS

28

Scholarly Papers (22)

1.
Downloads 3,945 ( 3,204)

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 21 Jan 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 3,945 (3,287)

Abstract:

Loading...

non-standard errors, multi-analyst approach, liquidity

2.

Evaluating Trade Classification Algorithms: Bulk Volume Classification versus the Tick Rule and the Lee-Ready Algorithm

Journal of Financial Markets, Forthcoming
Number of pages: 59 Posted: 30 Nov 2012 Last Revised: 17 Jun 2015
Bidisha Chakrabarty, Roberto Pascual and Andriy Shkilko
Saint Louis University - Richard A. Chaifetz School of Business, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 1,280 (20,555)
Citation 22

Abstract:

Loading...

trade classification, bulk volume classification, tick rule, Lee and Ready, VPIN

3.

What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?

Quantitative Finance, 9, 527-545, (2009)
Number of pages: 44 Posted: 26 Jan 2004 Last Revised: 06 Oct 2014
Roberto Pascual and David Veredas
Universidad de las Islas Baleares and Vlerick Business School
Downloads 706 (47,649)
Citation 5

Abstract:

Loading...

Limit orders, market orders, limit order book, order aggressiveness, order-driven markets

Does the Open Limit Order Book Matter in Explaining Informational Volatility?

Journal of Financial Econometrics, 8, 57-87, (2010)
Number of pages: 40 Posted: 22 Jun 2006 Last Revised: 06 Oct 2014
Roberto Pascual and David Veredas
Universidad de las Islas Baleares and Vlerick Business School
Downloads 513 (70,894)
Citation 3

Abstract:

Loading...

Limit order book, volatility, electronic order-driven markets, state-space models, price formation, market microstructure

Does the Open Limit Order Book Matter in Explaining Informational Volatility?

Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 57-87, 2010
Posted: 28 Dec 2009
Roberto Pascual and David Veredas
Universidad de las Islas Baleares and Vlerick Business School

Abstract:

Loading...

G1, limit order book, market microstructure, order-driven markets, price formation, state-space models, volatility

5.

On the Hidden Side of Liquidity

European Journal of Finance, Forthcoming
Number of pages: 26 Posted: 31 Oct 2003 Last Revised: 24 Mar 2015
Ángel Pardo Tornero and Roberto Pascual
University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 498 (74,274)
Citation 4

Abstract:

Loading...

6.

Cross-Listing, Price Discovery and the Informativeness of the Trading Process

Journal of Financial Markets, Vol. 9, No. 2, 2006
Number of pages: 34 Posted: 04 May 2002 Last Revised: 13 Jan 2022
Universidad de las Islas Baleares, Dep. Economia de la Empresa, Universitat Illes Balears (UIB) and University of Valencia - Department of Financial Economics
Downloads 444 (85,292)
Citation 14

Abstract:

Loading...

7.

Asymmetries in Bid and Ask Responses to Innovations in the Trading Process

Empirical Economics, 30, 913-946 (2006)
Number of pages: 40 Posted: 11 Jul 2001 Last Revised: 06 Oct 2014
Álvaro Escribano and Roberto Pascual
Universidad Carlos III de Madrid - Department of Economics and Universidad de las Islas Baleares
Downloads 311 (127,317)
Citation 6

Abstract:

Loading...

Market Microstructure, bid and ask time series, VEC models, adverse-selection costs, asymmetric dynamics

8.

Order Exposure in High Frequency Markets

Number of pages: 51 Posted: 21 Nov 2017 Last Revised: 13 Jan 2022
Saint Louis University - Richard A. Chaifetz School of Business, University of California, Berkeley - Haas School of Business, Indian Institute of Management Udaipur and Universidad de las Islas Baleares
Downloads 282 (141,142)
Citation 1

Abstract:

Loading...

Hidden orders, high frequency trading, order exposure

9.

The Relative Contribution of Ask and Bid Quotes to Price Discovery

Journal of Financial Markets, 20, 129-150 (2014)
Number of pages: 46 Posted: 05 Feb 2009 Last Revised: 07 Oct 2014
Roberto Pascual and Bartolomé Pascual-Fuster
Universidad de las Islas Baleares and Dep. Economia de la Empresa, Universitat Illes Balears (UIB)
Downloads 278 (143,304)
Citation 2

Abstract:

Loading...

Price discovery, order imbalance, quote quality, information shares, order driven markets, limit order book, NYSE, market microstructure

10.
Downloads 266 (149,817)
Citation 5

On the Magnet Effect of Price Limits

Europen Financial Management Journal, Vol. 13, No. 5, November 2007
Number of pages: 31 Posted: 13 May 2006 Last Revised: 31 Oct 2011
David Abad and Roberto Pascual
Universidad de Alicante and Universidad de las Islas Baleares
Downloads 253 (157,052)
Citation 1

Abstract:

Loading...

Price limits, non-discretionary trading halts, magnet effect, rule-based auctions, electronic order driven markets

On the Magnet Effect of Price Limits

European Financial Management, Vol. 13, No. 5, pp. 833-852, November 2007
Number of pages: 20 Posted: 26 Oct 2007
David Abad and Roberto Pascual
Universidad de Alicante and Universidad de las Islas Baleares
Downloads 13 (738,021)
Citation 1
  • Add to Cart

Abstract:

Loading...

11.

Evaluating VPIN as a Trigger for Single-Stock Circuit Breakers

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 24 Mar 2015 Last Revised: 14 Aug 2017
David Abad, Magdalena Massot and Roberto Pascual
Universidad de Alicante, Universidad de las Islas Baleares and Universidad de las Islas Baleares
Downloads 216 (183,362)
Citation 1

Abstract:

Loading...

VPIN, circuit breakers, trading halts, price limits, order-flow toxicity

12.

On the Bi-Dimensionality of Liquidity

European Journal of Finance, 10, 6, 542-566 (2004)
Number of pages: 37 Posted: 04 Mar 2003 Last Revised: 07 Oct 2014
Roberto Pascual, Álvaro Escribano and Mikel Tapia
Universidad de las Islas Baleares, Universidad Carlos III de Madrid - Department of Economics and University of the Basque Country
Downloads 200 (196,921)

Abstract:

Loading...

Liquidity, bi-dimensionality, ambiguity, volatility

Switching to a Temporary Call Auction in Times of High Uncertainty

Journal of Financial Research, 33, 1, 45-75 (2010)
Number of pages: 42 Posted: 15 May 2006 Last Revised: 07 Oct 2014
David Abad and Roberto Pascual
Universidad de Alicante and Universidad de las Islas Baleares
Downloads 172 (224,984)

Abstract:

Loading...

Circuit breaker, trading halts, price limits, call auction, microstructure, order driven market

Switching to a Temporary Call Auction in Times of High Uncertainty

CNMV Working Paper No. 19 (2007)
Number of pages: 45 Posted: 10 Jun 2019
David Abad and Roberto Pascual
Universidad de Alicante and Universidad de las Islas Baleares
Downloads 6 (798,822)
Citation 3

Abstract:

Loading...

call auction, price learning, price reversals, price continuations, informationasymmetry, thinly-traded stocks

14.

Order-flow-based Leading Indicators of Short-term Liquidity Shortfalls

Number of pages: 42 Posted: 18 Nov 2019 Last Revised: 27 Oct 2021
Universidad de Alicante, Universidad de las Islas Baleares, Indian Institute of Management Udaipur, Universidad de las Islas Baleares and University of Murcia
Downloads 147 (256,285)
Citation 1

Abstract:

Loading...

Order flow, HFT, limit orders, market orders, cancelations, toxicity.

15.

On the Effects of Continuous Trading

Number of pages: 51 Posted: 01 Dec 2020 Last Revised: 05 Jan 2022
Ivan Indriawan, Roberto Pascual and Andriy Shkilko
Auckland University of Technology - Department of Finance, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 138 (271,072)
Citation 1

Abstract:

Loading...

liquidity, adverse selection, continuous trading, batch auctions

16.

The Friction-Free Weighted Price Contribution

Number of pages: 37 Posted: 01 Feb 2011 Last Revised: 18 Feb 2014
David Abad and Roberto Pascual
Universidad de Alicante and Universidad de las Islas Baleares
Downloads 120 (299,200)

Abstract:

Loading...

Weighted price contribution, trading frictions, stealth trading, trade size, aggressiveness, bid-ask bounce, price formation, electronic markets, market microstructure.

17.

Modeling the Probability of Informed Trading in the European Carbon Market

Number of pages: 46 Posted: 09 Jul 2012
Vicente Medina, Ángel Pardo Tornero and Roberto Pascual
University of Valencia, University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 89 (365,158)

Abstract:

Loading...

Probability of Informed Trading (PIN), European Union Allowances (EUAs), Certified Emission Reductions (CERs), European Union Emission Trading Scheme (EU-ETS), market microstructure, high-frequency data, efficiency

18.

The Timeline of Trading Frictions in the European Carbon Market

Energy Economics, 42, 378-394 (2014)
Number of pages: 59 Posted: 26 Oct 2011 Last Revised: 07 Oct 2014
Vicente Medina, Ángel Pardo Tornero and Roberto Pascual
University of Valencia, University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 86 (372,857)
Citation 5

Abstract:

Loading...

European Union Emission Trading Scheme; European Union Allowances; trading frictions; informativeness of prices; market quality; market microstructure

19.

Stock Liquidity and Algorithmic Market Making During the COVID-19 Crisis

Journal of Banking and Finance, Forthcoming
Number of pages: 48 Posted: 10 Jun 2021 Last Revised: 18 Jan 2022
Bidisha Chakrabarty and Roberto Pascual
Saint Louis University - Richard A. Chaifetz School of Business and Universidad de las Islas Baleares
Downloads 85 (375,583)

Abstract:

Loading...

COVID-19, algorithmic trading, liquidity, efficiency, competition

20.

Carbon Credits: Who is the Leader of the Pack?

Number of pages: 23 Posted: 25 Oct 2011 Last Revised: 24 Mar 2015
Vicente Medina, Ángel Pardo Tornero and Roberto Pascual
University of Valencia, University of Valencia - Department of Financial Economics and Universidad de las Islas Baleares
Downloads 78 (394,994)

Abstract:

Loading...

European Union Allowances, Certified Emission Reductions, co-integration, price-discovery, high frequency data, intraday analysis

21.

Trading System Upgrades and Short-Sale Bans: Uncoupling the Effects of Technology and Regulation

Journal of Empirical Finance, Forthcoming
Number of pages: 43 Posted: 27 Jan 2016 Last Revised: 24 May 2017
Bidisha Chakrabarty, Pamela C. Moulton and Roberto Pascual
Saint Louis University - Richard A. Chaifetz School of Business, Cornell University - SC Johnson College of Business and Universidad de las Islas Baleares
Downloads 68 (425,911)
Citation 1

Abstract:

Loading...

Technological Upgrades, SIBE-Smart, Colocation, Short-Sale Ban, High-Speed Trading, Equity Market Liquidity

22.

US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks

Number of pages: 52 Posted: 17 Apr 2021 Last Revised: 07 Jul 2021
Olga Dodd, Bart Frijns, Ivan Indriawan and Roberto Pascual
Auckland University of Technology, Open University of the Netherlands - School of Management, Auckland University of Technology - Department of Finance and Universidad de las Islas Baleares
Downloads 60 (453,628)

Abstract:

Loading...

US cross-listing, high-frequency trading, cross-market arbitrage, US news announcements, liquidity, equity markets