ROBERTO PASCUAL : Citation Profile


Are you ROBERTO PASCUAL?

Universitat de les Illes Balears

9

H index

9

i10 index

187

Citations

RESEARCH PRODUCTION:

13

Articles

7

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 13
   Journals where ROBERTO PASCUAL has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 12 (6.03 %)

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   Permalink: http://citec.repec.org/ppa726
   Updated: 2019-10-15    RAS profile: 2015-07-13    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with ROBERTO PASCUAL.

Is cited by:

Hautsch, Nikolaus (21)

Veredas, David (8)

Hall, Anthony (5)

Frijns, Bart (5)

Angelidis, Timotheos (4)

Duong, Huu Nhan (3)

Horst, Ulrich (3)

Gau, Yin-Feng (3)

Mandel, Antoine (3)

Tourani-Rad, Alireza (3)

Dionne, Georges (2)

Cites to:

Foucault, Thierry (23)

Stoll, Hans (16)

Easley, David (16)

Madhavan, Ananth (15)

Engle, Robert (14)

Biais, Bruno (11)

Ready, Mark (10)

Lee, Charles (10)

Veredas, David (9)

McInish, Thomas (8)

Johansen, Soren (8)

Main data


Where ROBERTO PASCUAL has published?


Journals with more than one article published# docs
Journal of Financial Markets2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2

Recent works citing ROBERTO PASCUAL (2018 and 2017)


YearTitle of citing document
2017Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344.

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2017The Information Content of the Limit Order Book. (2017). Frank, Julieta ; Arzandeh, Mehdi . In: 7th Annual Canadian Agri-Food Policy Conference, January 11-13, 2017, Ottawa, ON. RePEc:ags:cafp17:253251.

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2018Implications of High-Frequency Trading for Security Markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1802.

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2017Measuring the effectiveness of volatility call auctions. (2017). Castro Iragorri, Carlos ; Agudelo, Diego ; Preciado, Sergio. In: DOCUMENTOS DE TRABAJO. RePEc:col:000092:015498.

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2018Measuring the effectiveness of volatility auctions. (2018). Agudelo, Diego A ; Castro, Carlos ; Preciado, Sergio. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016943.

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2018Measuring the effectiveness of volatility auctions. (2018). Agudelo, Diego ; Preciado, Sergio ; Castro, Carlos. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016988.

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2019A Microstructure Study of Circuit Breakers in the Chinese Stock Markets. (2019). Xu, Kuan ; Zhang, Hao ; Wang, Steven Shuye . In: Working Papers. RePEc:dal:wpaper:daleconwp2019-02.

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2018Regional impacts of launching national carbon emissions trading market: A case study of Shanghai. (2018). Liu, Zhiqing ; Yu, Zhongjue ; You, Wei ; Wu, Rui ; Xie, Yang ; Wilson, Jeffrey ; Dai, Hancheng ; Geng, Yong. In: Applied Energy. RePEc:eee:appene:v:230:y:2018:i:c:p:232-240.

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2018Switches in price discovery: Are U.S. traders more qualified in making valuations?. (2018). Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234.

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2017Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation. (2017). Chakrabarty, Bidisha ; Pascual, Roberto ; Moulton, Pamela C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:74-90.

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2018EU ETS facets in the net: Structure and evolution of the EU ETS network. (2018). Borghesi, Simone ; Flori, Andrea. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:602-635.

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2018The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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2018Evaluating VPIN as a trigger for single-stock circuit breakers. (2018). Abad, David ; Pascual, Roberto ; Massot, Magdalena. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:21-36.

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2018Price and network dynamics in the European carbon market. (2018). Mandel, Antoine ; Battiston, Stefano ; Karpf, Andreas. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:103-122.

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2019How effective are trading pauses?. (2019). Hautsch, Nikolaus ; Horvath, Akos. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:378-403.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2017Post-hit dynamics of price limit hits in the Chinese stock markets. (2017). Li, Ming-Xia ; Wang, Yue ; Wu, Ting. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:464-471.

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2018Price performance following stock’s IPO in different price limit systems. (2018). Li, Ming-Xia ; Wu, Ting ; Wang, Yue. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:953-966.

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2019The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks. (2019). Frijns, Bart ; Tourani-Rad, Alireza ; Otsubo, Yoichi ; Indriawan, Ivan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:176-187.

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2017Liquidity, information, strategic trading in an electronic order book: New insights from the European carbon markets. (2017). Rannou, Yves. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:779-808.

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2019Dynamic supply adjustment and banking under uncertainty in an Emission Trading Scheme: the Market Stability Reserve. (2019). Taschini, Luca ; Kollenberg, Sascha . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:100857.

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2018Moving Average Market Timing in European Energy Markets: Production Versus Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3281-:d:185360.

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2017Price and Network Dynamics in the European Carbon Market. (2017). Mandel, Antoine ; Karpf, Andreas ; Battiston, Stefano. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01484117.

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2018Implications of high-frequency trading for security markets. (2018). LINTON, OLIVER ; Mahmoodzadeh, Soheil. In: CeMMAP working papers. RePEc:ifs:cemmap:06/18.

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2018Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange. (2018). Wang, Ming-Chang ; Hsin, Pei-Han ; Ding, Yu-Jia. In: Journal of Economics and Management. RePEc:jec:journl:v:14:y:2018:i:2:p:191-216.

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2019The Effect of Extremely Small Price Limits: Evidence from the Early Period of the Chinese Stock Market. (2019). Li, Honggang ; Dong, Xinyue. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:55:y:2019:i:7:p:1516-1530.

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2017Price and Network Dynamics in the European Carbon Market. (2017). Mandel, Antoine ; Karpf, Andreas ; Battiston, Stefano. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17010.

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2018The erratic behaviour of the EU ETS on the path towards consolidation and price stability. (2018). Galan-Valdivieso, Federico ; Huete-Morales, Maria-Dolores ; Villar-Rubio, Elena. In: International Environmental Agreements: Politics, Law and Economics. RePEc:spr:ieaple:v:18:y:2018:i:5:d:10.1007_s10784-018-9411-3.

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2017The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets. (2017). Duppati, Geeta ; Hadsell, Lester ; Scrimgeour, Frank ; Hou, Yang. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1389675.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:1-2017.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:34.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2018The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity. (2018). Jian, Zhi Hong ; Wu, Shuai ; Zhou, Jie ; Zhu, Zhican. In: Departmental Working Papers. RePEc:win:winwop:2018-01.

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2019Circuit breakers as market stability levers: A survey of research, praxis, and challenges. (2019). Sifat, Imtiaz Mohammad ; Mohamad, Azhar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:24:y:2019:i:3:p:1130-1169.

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2019Quantile information share. (2019). Lien, Donald ; Wang, Zijun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:38-55.

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2017The Impact of Iceberg Orders in Limit Order Books. (2017). Frey, Stefan ; Sands, Patrik . In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:07:y:2017:i:03:n:s2010139217500070.

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2017Call of duty: Designated market maker participation in call auctions. (2017). Theissen, Erik ; Westheide, Christian. In: CFR Working Papers. RePEc:zbw:cfrwps:1605.

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2017How effective are trading pauses?. (2017). Hautsch, Nikolaus ; Horvath, Akos . In: CFS Working Paper Series. RePEc:zbw:cfswop:571.

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2017Managing excess volatility: Design and effectiveness of circuit breakers. (2017). Clapham, Benjamin ; Panz, Sven ; Haferkorn, Martin ; Gomber, Peter. In: SAFE Working Paper Series. RePEc:zbw:safewp:195.

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2018Circuit breakers: A survey among international trading venues. (2018). Clapham, Benjamin ; Panz, Sven ; Jentsch, Paul ; Haferkorn, Martin ; Gomber, Peter. In: SAFE Working Paper Series. RePEc:zbw:safewp:197.

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Works by ROBERTO PASCUAL:


YearTitleTypeCited
2007On the Magnet Effect of Price Limits In: European Financial Management.
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article13
2010SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY In: Journal of Financial Research.
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article12
2004What pieces of limit order book information are informative ? In: CORE Discussion Papers.
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paper13
2006Does the open limit order book matter in explaining long run volatility ? In: CORE Discussion Papers.
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paper11
2010Does the open limit order book matter in explaining long run volatility?.(2010) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2001Cross-listing, price discovery and the informativeness of the trading process In: DEE - Working Papers. Business Economics. WB.
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paper35
2006Cross-listing, price discovery and the informativeness of the trading process.(2006) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 35
article
2003CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS.(2003) In: Working Papers. Serie EC.
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This paper has another version. Agregated cites: 35
paper
2013Carbon Credits: Who is the Leader of the Pack? In: International Journal of Energy Economics and Policy.
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article3
2014The timeline of trading frictions in the European carbon market In: Energy Economics.
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article21
2012The timeline of trading fricions in the European Carbon Market.(2012) In: Working Papers. Serie AD.
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This paper has another version. Agregated cites: 21
paper
2014The relative contribution of ask and bid quotes to price discovery In: Journal of Financial Markets.
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article3
2004Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis In: Journal of Banking & Finance.
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article4
2015The friction-free weighted price contribution In: International Review of Economics & Finance.
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article0
2010Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics.
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article9
2006Asymmetries in bid and ask responses to innovations in the trading process In: Empirical Economics.
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article15
2004On the bi-dimensionality of liquidity In: The European Journal of Finance.
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article3
2012On the hidden side of liquidity In: The European Journal of Finance.
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article30
2009What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance.
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article15
2009What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository.
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paper0

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