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 1 1 7 6 8 11 71
Does the open limit order book matter in explaining long run volatility ? 0 0 1 118 1 1 3 436
Dynamic asymmetries in bid-ask responses to innovations in the trading process 0 0 0 3 1 2 6 41
How does liquidity behave? A multidimensional analysis of NYSE stocks 0 0 0 3 2 4 7 152
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 1 1 1 16
Total Working Papers 0 1 2 131 11 16 28 716
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 2 4 264
Asymmetries in bid and ask responses to innovations in the trading process 0 0 0 52 1 3 3 190
Carbon Credits: Who is the Leader of the Pack? 0 0 0 11 3 5 5 56
Cross-listing, price discovery and the informativeness of the trading process 0 0 0 48 1 1 1 215
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 1 43 1 3 8 151
Evaluating VPIN as a trigger for single-stock circuit breakers 0 1 2 26 2 6 9 134
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm 0 0 1 98 26 38 50 390
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors 0 0 1 1 0 2 6 17
Message traffic and short-term illiquidity in high-speed markets 0 0 1 1 4 11 19 19
Nonstandard Errors 1 3 16 42 5 18 65 156
On the Magnet Effect of Price Limits 0 0 0 22 5 8 13 135
On the bi-dimensionality of liquidity 0 0 0 40 0 0 0 228
On the hidden side of liquidity 0 0 0 30 2 6 8 98
SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY 0 0 0 14 1 5 10 95
Stock liquidity and algorithmic market making during the COVID-19 crisis 0 0 1 4 2 9 19 40
The friction-free weighted price contribution 0 0 2 6 3 10 14 84
The relative contribution of ask and bid quotes to price discovery 0 0 0 9 1 2 3 111
The timeline of trading frictions in the European carbon market 0 0 0 15 1 3 4 97
Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation 0 0 0 1 0 0 1 26
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks 0 0 0 0 2 4 13 26
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 0 6 8 191
Total Journal Articles 1 4 25 544 60 142 263 2,723

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Statistics updated 2026-01-09