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 1 1 6 441
Dynamic asymmetries in bid-ask responses to innovations in the trading process 0 0 0 3 0 0 4 43
How does liquidity behave? A multidimensional analysis of NYSE stocks 0 0 0 3 0 1 12 160
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 1 4 54 753
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 0 7 268
Asymmetries in bid and ask responses to innovations in the trading process 0 0 0 52 1 2 14 201
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 1 1 1 49 2 2 15 229
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 0 43 0 1 12 159
Evaluating VPIN as a trigger for single-stock circuit breakers 0 0 1 26 3 8 42 170
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm 0 4 8 105 23 56 171 520
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors 0 0 0 1 0 0 16 31
Message traffic and short-term illiquidity in high-speed markets 0 0 1 2 1 1 25 30
Nonstandard Errors 0 2 8 46 6 15 57 191
On the Magnet Effect of Price Limits 0 0 3 25 11 13 56 182
On the bi-dimensionality of liquidity 0 0 0 40 0 0 4 232
On the hidden side of liquidity 0 0 0 30 0 1 17 109
SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY 0 0 0 14 2 2 12 101
Stock liquidity and algorithmic market making during the COVID-19 crisis 0 0 1 5 1 3 30 61
The friction-free weighted price contribution 0 0 0 6 2 3 21 95
The relative contribution of ask and bid quotes to price discovery 0 0 0 9 1 2 14 123
The timeline of trading frictions in the European carbon market 0 0 1 16 0 0 12 106
Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation 0 0 0 1 1 3 16 42
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks 0 0 0 0 1 3 18 39
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 0 2 16 201
Total Journal Articles 1 7 24 562 55 117 588 3,154

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Statistics updated 2026-09-10