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 0 5 0 1 2 57
BLM: bidimensional approach to measure liquidity 0 0 0 2 0 0 0 23
CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS 0 0 0 51 0 1 1 275
Cross-listing, price discovery and the informativeness of the trading process 0 0 0 153 0 0 0 588
Does the open limit order book matter in explaining informational volatility? 0 0 0 0 0 2 2 21
Does the open limit order book matter in explaining long run volatility ? 0 0 0 117 0 0 1 432
Dynamic asymmetries in bid-ask responses to innovations in the trading process 0 0 0 3 0 0 0 35
How does liquidity behave? A multidimensional analysis of NYSE stocks 0 0 0 3 0 0 26 143
Non-Standard Errors 0 0 1 41 5 10 81 381
Non-Standard Errors 1 1 10 40 2 12 78 314
Switching to a temporary call auction in times of high uncertainty 0 0 0 1 0 0 0 10
The timeline of trading fricions in the European Carbon Market 0 0 0 77 0 0 0 224
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 0 0 0 15
What pieces of limit order book information are informative ? 0 0 0 117 0 2 2 444
Total Working Papers 1 1 11 610 7 28 193 2,962


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 44 1 1 17 258
Asymmetries in bid and ask responses to innovations in the trading process 0 0 0 52 0 0 0 185
Carbon Credits: Who is the Leader of the Pack? 0 0 1 11 0 0 1 50
Cross-listing, price discovery and the informativeness of the trading process 0 0 1 48 0 0 1 212
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 0 41 0 0 2 142
Evaluating VPIN as a trigger for single-stock circuit breakers 0 0 4 24 1 1 13 119
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm 1 2 10 94 3 5 28 327
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors 0 0 0 0 2 2 7 7
On the Magnet Effect of Price Limits 0 0 0 21 0 1 3 115
On the bi-dimensionality of liquidity 1 1 1 40 1 1 9 227
On the hidden side of liquidity 0 1 1 30 1 3 3 90
SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY 0 0 1 13 0 0 6 76
Stock liquidity and algorithmic market making during the COVID-19 crisis 0 0 0 1 2 3 7 16
The friction-free weighted price contribution 0 0 0 4 0 1 4 70
The relative contribution of ask and bid quotes to price discovery 0 0 1 9 0 1 6 105
The timeline of trading frictions in the European carbon market 0 0 2 15 0 0 2 91
Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation 0 0 1 1 0 1 2 25
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks 0 0 0 0 3 5 7 7
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 0 1 1 182
Total Journal Articles 2 4 23 484 14 26 119 2,304


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymmetries in bid and ask responses to innovations in the trading process 0 0 0 0 0 0 1 6
Total Chapters 0 0 0 0 0 0 1 6


Statistics updated 2024-04-03