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 7 15 18 80
Does the open limit order book matter in explaining long run volatility ? 0 0 0 118 0 2 3 437
Dynamic asymmetries in bid-ask responses to innovations in the trading process 0 0 0 3 0 2 5 42
How does liquidity behave? A multidimensional analysis of NYSE stocks 0 0 0 3 0 8 13 158
What pieces of LOB information are informative? An empirical analysis of a pure order driven market 0 0 0 0 0 2 2 17
Total Working Papers 0 0 1 131 7 29 41 734
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 5 266
Asymmetries in bid and ask responses to innovations in the trading process 0 0 0 52 2 8 10 197
Carbon Credits: Who is the Leader of the Pack? 0 0 0 11 1 6 8 59
Cross-listing, price discovery and the informativeness of the trading process 0 0 0 48 0 6 6 220
Does the Open Limit Order Book Matter in Explaining Informational Volatility? 0 0 1 43 3 6 12 156
Evaluating VPIN as a trigger for single-stock circuit breakers 0 0 2 26 2 10 16 142
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm 0 0 1 98 13 58 80 422
Market-wide illiquidity and the distribution of non-parametric stochastic discount factors 0 0 0 1 2 5 10 22
Message traffic and short-term illiquidity in high-speed markets 0 0 1 1 1 9 24 24
Nonstandard Errors 0 1 11 42 6 16 61 167
On the Magnet Effect of Price Limits 0 1 1 23 1 9 17 139
On the bi-dimensionality of liquidity 0 0 0 40 0 1 1 229
On the hidden side of liquidity 0 0 0 30 1 6 11 102
SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY 0 0 0 14 1 5 12 99
Stock liquidity and algorithmic market making during the COVID-19 crisis 0 0 1 4 4 11 25 49
The friction-free weighted price contribution 0 0 2 6 1 5 15 86
The relative contribution of ask and bid quotes to price discovery 0 0 0 9 1 7 8 117
The timeline of trading frictions in the European carbon market 0 0 0 15 3 6 9 102
Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation 0 0 0 1 1 5 5 31
US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks 0 0 0 0 1 6 16 30
What pieces of limit order book information matter in explaining order choice by patient and impatient traders? 0 0 0 36 0 4 10 195
Total Journal Articles 0 2 20 545 44 191 361 2,854

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Statistics updated 2026-03-04