Access Statistics for Roberto Pascual

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context 0 0 1 7 0 2 29 91
Does the open limit order book matter in explaining long run volatility ? 0 0 0 118 0 0 5 440
Dynamic asymmetries in bid-ask responses to innovations in the trading process 0 0 0 3 0 0 5 43
How does liquidity behave? A multidimensional analysis of NYSE stocks 0 0 0 3 0 1 14 160
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 0 0 3 18
Total Working Papers 0 0 1 131 0 3 56 752
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis 0 0 0 45 0 1 7 268
Asymmetries in bid and ask responses to innovations in the trading process 0 0 0 52 0 1 13 200
Carbon Credits: Who is the Leader of the Pack? 0 0 0 11 0 0 13 64
Cross-listing, price discovery and the informativeness of the trading process 0 0 0 48 0 0 13 227
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 0 43 1 2 13 159
Evaluating VPIN as a trigger for single-stock circuit breakers 0 0 1 26 3 11 39 167
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm 3 5 8 105 17 39 149 497
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors 0 0 0 1 0 1 16 31
Message traffic and short-term illiquidity in high-speed markets 0 1 1 2 0 1 26 29
Nonstandard Errors 1 2 8 46 5 9 53 185
On the Magnet Effect of Price Limits 0 0 3 25 0 12 48 171
On the bi-dimensionality of liquidity 0 0 0 40 0 0 4 232
On the hidden side of liquidity 0 0 0 30 1 2 17 109
SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY 0 0 0 14 0 0 10 99
Stock liquidity and algorithmic market making during the COVID-19 crisis 0 0 1 5 1 6 30 60
The friction-free weighted price contribution 0 0 0 6 1 2 20 93
The relative contribution of ask and bid quotes to price discovery 0 0 0 9 0 1 13 122
The timeline of trading frictions in the European carbon market 0 0 1 16 0 1 13 106
Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation 0 0 0 1 1 2 15 41
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks 0 0 0 0 1 6 19 38
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 1 3 16 201
Total Journal Articles 4 8 23 561 32 100 547 3,099

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Statistics updated 2026-08-07