Roberto Pascual
Cited by
Cited by
Cross-listing, price discovery and the informativeness of the trading process
R Pascual, B Pascual-Fuster, F Climent
Journal of Financial Markets 9 (2), 144-161, 2006
On the hidden side of liquidity
A Pardo, R Pascual
High Frequency Trading and Limit Order Book Dynamics, 229-248, 2016
What pieces of limit order book information matter in explaining order choice by patient and impatient traders?
R Pascual, D Veredas
Quantitative Finance 9 (5), 527-545, 2009
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm
B Chakrabarty, R Pascual, A Shkilko
Journal of Financial Markets 25, 52-79, 2015
On the magnet effect of price limits
D Abad, R Pascual
European Financial Management 13 (5), 833-852, 2007
Does the open limit order book matter in explaining informational volatility?
R Pascual, D Veredas
Journal of Financial Econometrics 8 (1), 57-87, 2010
Asymmetries in bid and ask responses to innovations in the trading process
A Escribano, R Pascual
High Frequency Financial Econometrics: Recent Developments, 49-82, 2008
The timeline of trading frictions in the European carbon market
V Medina, Á Pardo, R Pascual
Energy Economics 42, 378-394, 2014
Switching to a temporary call auction in times of high uncertainty
D Abad, R Pascual
Journal of Financial Research 33 (1), 45-75, 2010
Non-standard errors
AJ Menkveld, A Dreber, F Holzmeister, J Huber, M Johannesson, ...
Tinbergen Institute Discussion Paper 2021-102/IV, 2021
On the bi-dimensionality of liquidity
R Pascual, Á Escribano, M Tapia
The European Journal of Finance 10 (6), 542-566, 2004
Trade classification algorithms: A horse race between the bulk-based and the tick-based rules
B Chakrabarty, R Pascual, A Shkilko
Available at SSRN 2182819, 2012
Order exposure in high frequency markets
B Chakrabarty, T Hendershott, S Nawn, R Pascual
Available at SSRN 3074049, 2022
Holding back volatility: circuit breakers, price limits, and trading halts
D Abad, R Pascual
Market Microstructure in Emerging and Developed Markets: Price Discovery …, 2013
Evaluating VPIN as a trigger for single-stock circuit breakers
D Abad, M Massot, R Pascual
Journal of Banking & Finance 86, 21-36, 2018
Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis
R Pascual, A Escribano, M Tapia
Journal of banking & finance 28 (1), 107-128, 2004
What pieces of limit order book information are informative?
R Pascual, D Veredas
CORE, 2004
On the effects of continuous trading
I Indriawan, R Pascual, A Shkilko
Available at SSRN 3707154, 2020
Liquidez: una revisión de la investigación en microestructura
R Pascual
Revista de Economía Financiera 1, 80-126, 2003
Stock liquidity and algorithmic market making during the COVID-19 crisis
B Chakrabarty, R Pascual
Journal of Banking & Finance 147, 106415, 2023
The system can't perform the operation now. Try again later.
Articles 1–20