Roberto Pascual

Universidad de las Islas Baleares

Ctra. de Valldemossa km 7,5

Departamento de Economia y Empresa

Palma, Baleares

Spain

SCHOLARLY PAPERS

19

DOWNLOADS
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Top 9,508

in Total Papers Downloads

5,326

SSRN CITATIONS
Rank 16,200

SSRN RANKINGS

Top 16,200

in Total Papers Citations

34

CROSSREF CITATIONS

27

Scholarly Papers (19)

1.

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 1,098 (20,920)
Citation 16

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

2.

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 684 (40,900)
Citation 5

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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 502 (60,077)
Citation 3

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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

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

4.

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 483 (63,916)
Citation 4

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5.

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: 06 Feb 2009
Universidad de las Islas Baleares, Dep. Economia de la Empresa, Universitat Illes Balears (UIB) and University of Valencia - Department of Financial Economics
Downloads 439 (71,624)
Citation 14

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6.

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 304 (109,441)
Citation 6

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

7.

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 272 (123,151)
Citation 2

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

8.
Downloads 256 (130,751)
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 243 (137,263)
Citation 1

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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 (636,293)
Citation 1
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9.

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 210 (158,472)

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

10.

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 198 (167,437)

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Liquidity, bi-dimensionality, ambiguity, volatility

11.

Order Exposure in High Frequency Markets

Number of pages: 53 Posted: 21 Nov 2017 Last Revised: 22 Jun 2020
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 182 (180,759)

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Hidden orders, high frequency trading, order exposure

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 167 (194,892)

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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 4 (706,434)
Citation 3

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

13.

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 118 (257,131)

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

14.

Order Flow Toxicity under the Microscope

Number of pages: 54 Posted: 18 Nov 2019 Last Revised: 01 Jul 2020
Universidad de Alicante, Universidad de las Islas Baleares, Indian Institute of Management Udaipur, Universidad de las Islas Baleares and University of Murcia
Downloads 89 (310,773)

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Order flow, toxicity, order imbalance, HFT, limit orders, market orders, cancelations, monitoring, market liquidity.

15.

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 85 (319,876)

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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

16.

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 82 (326,956)
Citation 5

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

17.

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 74 (346,982)

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

18.

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 65 (372,068)

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

19.

Market-Wide Illiquidity and the Volatility of a Model-Free Stochastic Discount Factor

Number of pages: 59 Posted: 09 Jun 2020
David Abad, Belen Nieto, Roberto Pascual and Gonzalo Rubio
Universidad de Alicante, University of Alicante, Universidad de las Islas Baleares and Universidad CEU Cardenal Herrera
Downloads 14 (605,503)

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stochastic discount factor, market-wide illiquidity, illiquidity risk, illiquidity spillovers, asset pricing