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 4 16 27 89
Does the open limit order book matter in explaining long run volatility ? 0 0 0 118 2 3 6 440
Dynamic asymmetries in bid-ask responses to innovations in the trading process 0 0 0 3 1 1 6 43
How does liquidity behave? A multidimensional analysis of NYSE stocks 0 0 0 3 1 1 13 159
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 1 1 3 18
Total Working Papers 0 0 1 131 9 22 55 749
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 1 1 6 267
Asymmetries in bid and ask responses to innovations in the trading process 0 0 0 52 2 4 12 199
Carbon Credits: Who is the Leader of the Pack? 0 0 0 11 3 6 13 64
Cross-listing, price discovery and the informativeness of the trading process 0 0 0 48 2 7 13 227
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 0 43 1 4 11 157
Evaluating VPIN as a trigger for single-stock circuit breakers 0 0 1 26 5 16 29 156
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm 1 2 3 100 17 49 112 458
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors 0 0 0 1 6 10 17 30
Message traffic and short-term illiquidity in high-speed markets 0 0 1 1 1 5 27 28
Nonstandard Errors 0 2 8 44 4 15 58 176
On the Magnet Effect of Price Limits 2 2 3 25 17 21 37 159
On the bi-dimensionality of liquidity 0 0 0 40 3 3 4 232
On the hidden side of liquidity 0 0 0 30 2 6 16 107
SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY 0 0 0 14 0 1 12 99
Stock liquidity and algorithmic market making during the COVID-19 crisis 0 1 2 5 4 9 30 54
The friction-free weighted price contribution 0 0 1 6 5 6 19 91
The relative contribution of ask and bid quotes to price discovery 0 0 0 9 3 5 12 121
The timeline of trading frictions in the European carbon market 1 1 1 16 3 6 12 105
Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation 0 0 0 1 6 9 13 39
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks 0 0 0 0 1 3 14 32
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 3 3 13 198
Total Journal Articles 4 8 20 553 89 189 480 2,999

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Statistics updated 2026-05-06