Roberto Pascual

Universidad de las Islas Baleares

Ctra. de Valldemossa km 7,5

Departamento de Economia y Empresa

Palma, Baleares

Spain

SCHOLARLY PAPERS

25

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81

CROSSREF CITATIONS

25

Scholarly Papers (25)

1.
Downloads 15,955 ( 454)
Citation 6

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 15 May 2024
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, Yunjiang Dong, Philip Drummond, Tom L. 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 Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun 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 Schuerhoff, 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 Zhou 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, Marcel 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, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, EMLV Business School Paris, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, 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, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, 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), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, 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, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University 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 - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, 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 Tübingen, 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 Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, 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, Northeastern University - D'Amore-McKim School of Business, University of Orleans, VU University 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, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontificia Universidad Católica de Chile, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, 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 New South Wales (UNSW), Square Research Center, Independent Researcher, 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, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, 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, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, 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 Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, 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 Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, 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, The 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), VU Amsterdam - School of Business and Economics, 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, University of New South Wales (UNSW), 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 Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, 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, Vlerick Business School, 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, Reykjavik University, 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, VU University Amsterdam, Asia University, Department of Finance, 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, Erasmus University Rotterdam, Central Michigan University, Aalto University, Columbia University, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - 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 (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - Buffalo, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 15,955 (481)
Citation 7

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nonstandard errors, multi-analyst study, 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 1,707 (20,332)
Citation 31

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

3.

Identifying High Frequency Trading Activity without Proprietary Data

Number of pages: 55 Posted: 27 Aug 2023 Last Revised: 07 Dec 2023
Saint Louis University - Richard A. Chaifetz School of Business, University of Melbourne - Department of Finance and Universidad de las Islas Baleares
Downloads 920 (50,041)
Citation 1

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High-frequency trading; HFT proxies; Quote intensity; Strategic Runs; Monitoring Intensity; Message traffic; Cancellations; Liquidity demand; Liquidity supply

4.

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 771 (63,647)
Citation 5

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

5.

On the Effects of Continuous Trading

Number of pages: 62 Posted: 01 Dec 2020 Last Revised: 29 Feb 2024
Ivan Indriawan, Roberto Pascual and Andriy Shkilko
University of Adelaide, Universidad de las Islas Baleares and Wilfrid Laurier University - Lazaridis School of Business and Economics
Downloads 736 (67,632)
Citation 1

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liquidity, adverse selection, continuous trading, batch auctions

6.

Order Exposure in High Frequency Markets

Number of pages: 63 Posted: 21 Nov 2017 Last Revised: 16 Aug 2024
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 570 (93,521)
Citation 1

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Hidden orders, transparency, high frequency trading, order exposure JEL Classification: G11, G12, G14, G15, G24

7.

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 565 (94,575)
Citation 7

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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 546 (97,581)
Citation 8

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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

9.

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: 29 Dec 2023
Universidad de las Islas Baleares, University of the Balearic Islands and University of Valencia - Department of Financial Economics
Downloads 468 (119,030)
Citation 16

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10.

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
Charles III University of Madrid - Department of Economics and Universidad de las Islas Baleares
Downloads 341 (170,384)
Citation 6

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

11.

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 University of the Balearic Islands
Downloads 320 (182,356)
Citation 3

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

Message Traffic and Short-Term Illiquidity in High-Speed Markets

Number of pages: 40 Posted: 18 Nov 2019 Last Revised: 12 Sep 2022
Universidad de Alicante, Universidad de las Islas Baleares, Indian Institute of Management Udaipur, Universidad de las Islas Baleares and University of Murcia
Downloads 251 (232,840)
Citation 1

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

Message Traffic and Short-Term Illiquidity in High-Speed Markets

Number of pages: 47 Posted: 21 Sep 2022
Universidad de Alicante, Universidad de las Islas Baleares, Indian Institute of Management Udaipur, Universidad de las Islas Baleares and University of Murcia
Downloads 32 (893,539)

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Order flow, HFT, limit orders, market orders, cancellations, toxicity

13.

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 283 (207,524)
Citation 1

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

14.

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 261 (225,160)

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

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 195 (296,267)

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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 31 (902,737)
Citation 3

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

16.

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, Charles III University of Madrid - Department of Economics and University of the Basque Country
Downloads 218 (268,054)

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Liquidity, bi-dimensionality, ambiguity, volatility

17.

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

Journal of Banking and Finance, Forthcoming (https://doi.org/10.1016/j.jbankfin.2022.106415)
Number of pages: 48 Posted: 10 Jun 2021 Last Revised: 24 Jan 2022
Bidisha Chakrabarty and Roberto Pascual
Saint Louis University - Richard A. Chaifetz School of Business and Universidad de las Islas Baleares
Downloads 157 (359,271)
Citation 5

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

18.

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

Journal of Empirical Finance, Forthcoming
Number of pages: 52 Posted: 17 Apr 2021 Last Revised: 22 Mar 2023
Olga Dodd, Bart Frijns, Ivan Indriawan and Roberto Pascual
Auckland University of Technology, Open University of the Netherlands - School of Management, University of Adelaide and Universidad de las Islas Baleares
Downloads 148 (377,226)

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

19.

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 148 (377,226)

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

20.

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 123 (435,555)

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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

21.

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 121 (441,044)
Citation 5

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

22.

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 103 (496,509)

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

23.

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 89 (546,233)
Citation 3

Abstract:

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

24.

Optimal Trading Hours in Europe: Insights from Extended Overlaps

Number of pages: 76 Posted: 13 Feb 2024
David Abad, Magdalena Massot, Roberto Pascual and José Yagüe
Universidad de Alicante, Universidad de las Islas Baleares, Universidad de las Islas Baleares and University of Murcia
Downloads 72 (617,748)

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European markets, optimal trading hours, overlapping trading sessions, market quality, liquidity, price efficiency, closing auctions, Daylight Saving Time

25.

Market-Wide Illiquidity and the Distribution of Non-Parametric Stochastic Discount Factors

International Review of Financial Analysis, Forthcoming
Number of pages: 52 Posted: 04 Aug 2022 Last Revised: 03 Apr 2023
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 64 (657,013)

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Market-wide illiquidity; non-parametric stochastic discount factor; volatility, skewness, and kurtosis of the model-free stochastic discount factor, market realized volatility; high dimensional data estimation

Other Papers (1)

Total Downloads: 4
1.

Negociación de alta frecuencia y calidad del mercado: revisión de una década de investigación

Number of pages: 50 Posted: 09 Feb 2024
Roberto Pascual and Funcas
Universidad de las Islas Baleares and Fundación de los bancos y cajas de CECA
Downloads 4

Abstract:

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HFT, negociación algorítmica, mercado bursátil, liquidez, formación de precios, eficiencia en precios, microestructura