ROBERTO PASCUAL : Citation Profile


Are you ROBERTO PASCUAL?

Universitat de les Illes Balears

10

H index

10

i10 index

248

Citations

RESEARCH PRODUCTION:

16

Articles

14

Papers

1

Chapters

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 11
   Journals where ROBERTO PASCUAL has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 16 (6.06 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppa726
   Updated: 2022-06-25    RAS profile: 2022-01-01    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Colliard, Jean-Edouard (2)

Gehrig, Thomas (2)

FERROUHI, EL MEHDI (2)

Holzmeister, Felix (2)

Johannesson, Magnus (2)

Wilhelmsson, Anders (2)

Stefanova, Denitsa (2)

Scaillet, Olivier (2)

Walther, Thomas (2)

Dreber, Anna (2)

Caporin, Massimiliano (2)

Gerritsen, Dirk (2)

Horenstein, Alex (2)

Smales, Lee (2)

Sarno, Lucio (2)

Bos, Charles (2)

Regis, Luca (2)

Adrian, Tobias (2)

Rinne, Kalle (2)

Xiu, Dacheng (2)

Bohorquez Correa, Santiago (2)

Frijns, Bart (2)

Jalkh, Naji (2)

Vilkov, Grigory (2)

Tonks, Ian (2)

Patton, Andrew (2)

Rakowski, David (2)

Wong, Wing-Keung (2)

Brownlees, Christian (2)

Abudy, Menachem (2)

van Kervel, Vincent (2)

LINTON, OLIVER (2)

Xia, Shuo (2)

Schenk-Hoppé, Klaus (2)

Pastor, Lubos (2)

Putnins, Talis (2)

Schwarz, Marco (2)

Menkveld, Albert (2)

Palan, Stefan (2)

Park, Andreas (2)

Harris, Jeffrey (2)

Reitz, Stefan (2)

Lajaunie, Quentin (2)

Lopez-Lira, Alejandro (2)

Davies, Ryan (2)

Theissen, Erik (2)

Dimpfl, Thomas (2)

Bouri, Elie (2)

Nielsson, Ulf (2)

Jurkatis, Simon (2)

Hurlin, Christophe (2)

Verousis, Thanos (2)

Heath, Davidson (2)

Pasquariello, Paolo (2)

Ranaldo, Angelo (2)

Pelizzon, Loriana (2)

Dumitrescu, Ariadna (2)

Taylor, Nick (2)

Alexeev, Vitali (2)

Patel, Vinay (2)

Ait-Sahalia, Yacine (2)

Deev, Oleg (2)

Hautsch, Nikolaus (2)

Foucault, Thierry (2)

Lof, Matthijs (2)

Zhou, Chen (2)

Chow, Nikolai Sheung-Chi (2)

Liew, Chee (2)

Roy, Saurabh (2)

Moinas, Sophie (2)

Kassner, Bernhard (2)

Wolff, Christian (2)

Talavera, Oleksandr (2)

Gorbenko, Arseny (2)

CAPELLE-BLANCARD, Gunther (2)

Ferrara, Gerardo (2)

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)

Frijns, Bart (8)

Tourani-Rad, Alireza (8)

battiston, stefano (6)

Mandel, Antoine (6)

Rannou, Yves (5)

Hall, Anthony (5)

Quemin, Simon (4)

Baudry, marc (4)

Taschini, Luca (4)

Cites to:

Foucault, Thierry (33)

Easley, David (26)

Stoll, Hans (24)

Madhavan, Ananth (20)

Engle, Robert (18)

Lee, Charles (16)

Subrahmanyam, Avanidhar (16)

Biais, Bruno (15)

Ready, Mark (14)

Bollerslev, Tim (13)

Escribano, Alvaro (12)

Main data


Where ROBERTO PASCUAL has published?


Journals with more than one article published# docs
Journal of Financial Markets3
The European Journal of Finance2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
DEE - Working Papers. Business Economics. WB / Universidad Carlos III de Madrid. Departamento de Economía de la Empresa3
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2

Recent works citing ROBERTO PASCUAL (2021 and 2020)


YearTitle of citing document
2021Looking under the surface: An analysis of iceberg orders in the U.S. agricultural futures markets. (2021). Mallory, Mindy ; Garcia, Philip ; Serra, Teresa ; Shang, Quanbiao. In: Agricultural Economics. RePEc:bla:agecon:v:52:y:2021:i:4:p:679-699.

Full description at Econpapers || Download paper

2020Trade signing in fast markets. (2020). Kolay, Madhuparna ; Carrion, Allen. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:385-404.

Full description at Econpapers || Download paper

2021Quote dynamics of cross?listed stocks. (2021). Tourani-Rad, Alireza ; Frijns, Bart ; Indriawan, Ivan ; Touranirad, Alireza. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:497-522.

Full description at Econpapers || Download paper

2020Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs. (2020). Shkilko, Andriy ; Sokolov, Konstantin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:6:p:2899-2927.

Full description at Econpapers || Download paper

2022How is Earnings News Transmitted to Stock Prices?. (2022). Martineau, Charles ; Gregoire, Vincent. In: Journal of Accounting Research. RePEc:bla:joares:v:60:y:2022:i:1:p:261-297.

Full description at Econpapers || Download paper

2020Inferring trade directions in fast markets. (2020). Jurkatis, Simon . In: Bank of England working papers. RePEc:boe:boeewp:0896.

Full description at Econpapers || Download paper

2020Emissions Trading with Transaction Costs. (2020). Baudry, marc ; Quemin, Simon ; Faure, Anouk. In: Working Papers. RePEc:cec:wpaper:2007.

Full description at Econpapers || Download paper

2020Emissions Trading with Transaction Costs. (2020). Baudry, marc ; Quemin, Simon ; Faure, Anouk. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-19.

Full description at Econpapers || Download paper

2021Intraday return predictability in China’s crude oil futures market: New evidence from a unique trading mechanism. (2021). Zhang, Yaojie ; Wang, Yudong ; Wen, Danyan. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:209-219.

Full description at Econpapers || Download paper

2021Asymmetries and flight-to-safety effects in the price discovery process of cross-listed stocks. (2021). Anghel, Dan Gabriel ; Cepoi, Cosmin-Octavian ; Pop, Ionu Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:302-318.

Full description at Econpapers || Download paper

2021Market failure, tradable discharge permit, and pollution reduction: Evidence from industrial firms in China. (2021). Li, Zhen ; Tang, Maogang ; Zhang, Ruihan ; Wu, Baijun ; Hu, Fengxia . In: Ecological Economics. RePEc:eee:ecolec:v:189:y:2021:i:c:s092180092100238x.

Full description at Econpapers || Download paper

2021Exploring public opinions on climate change policy in Big Data Era—A case study of the European Union Emission Trading System (EU-ETS) based on Twitter. (2021). Wang, LI ; Zhang, Jianhong ; Gong, Ping ; Wei, Yigang. In: Energy Policy. RePEc:eee:enepol:v:158:y:2021:i:c:s0301421521004298.

Full description at Econpapers || Download paper

2020Information-based trading and information propagation: Evidence from the exchange traded fund market. (2020). Zhao, Yang ; Xu, LU. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301393.

Full description at Econpapers || Download paper

2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry. (2020). Oxley, Les ; Corbet, Shaen ; Hu, Yang ; Hou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302040.

Full description at Econpapers || Download paper

2020Call of duty: Designated market maker participation in call auctions. (2020). Theissen, Erik ; Westheide, Christian. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s138641811930360x.

Full description at Econpapers || Download paper

2020VPIN, liquidity, and return volatility in the U.S. equity markets. (2020). van Ness, Robert ; Yildiz, Serhat. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318302679.

Full description at Econpapers || Download paper

2022Market fairness and efficiency: Evidence from the Tokyo Stock Exchange. (2022). Zhang, Jiang ; McInish, Thomas H ; Kemme, David M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002612.

Full description at Econpapers || Download paper

2021Emissions trading with transaction costs. (2021). Baudry, marc ; Quemin, Simon ; Faure, Anouk. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:108:y:2021:i:c:s0095069621000516.

Full description at Econpapers || Download paper

2021Bias in the effective bid-ask spread. (2021). Hagstromer, Bjorn . In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:314-337.

Full description at Econpapers || Download paper

2021Two shades of opacity: Hidden orders and dark trading. (2021). Degryse, Hans ; Wuyts, Gunther ; Tombeur, Geoffrey ; Karagiannis, Nikolaos. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:47:y:2021:i:c:s1042957321000206.

Full description at Econpapers || Download paper

2021The impact of the change in USDA announcement release procedures on agricultural commodity futures. (2021). Tse, Yiuman ; Martinez, Valeria ; Indriawan, Ivan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:23:y:2021:i:c:s240585132030026x.

Full description at Econpapers || Download paper

2020The magnet effect of circuit breakers and its interactions with price limits. (2020). Wong, Kin Ming ; Li, Min ; Kong, Xiao Wei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:61:y:2020:i:c:s0927538x19305128.

Full description at Econpapers || Download paper

2021No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process. (2021). Rathgeber, Andreas W ; Stadler, Johannes ; Ulze, Markus. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:82:y:2021:i:c:p:163-184.

Full description at Econpapers || Download paper

2020A survey on the magnet effect of circuit breakers in financial markets. (2020). Mohamad, Azhar ; Sifat, Imtiaz Mohammad. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:138-151.

Full description at Econpapers || Download paper

2020Intraday price jumps, market liquidity, and the magnet effect of circuit breakers. (2020). Zhou, Jie ; Jian, Zhi Hong ; Wu, Shuai ; Zhu, Zhican. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:168-186.

Full description at Econpapers || Download paper

2020Measuring the effectiveness of volatility auctions. (2020). Agudelo, Diego A ; Castro, Carlos ; Preciado, Sergio. In: International Review of Economics & Finance. RePEc:eee:reveco:v:70:y:2020:i:c:p:566-581.

Full description at Econpapers || Download paper

2021Conditional volatility persistence and volatility spillovers in the foreign exchange market. (2021). Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920301094.

Full description at Econpapers || Download paper

2020Emissions Trading with Transaction Costs. (2020). Quemin, Simon ; Baudry, marc ; Faure, Anouk. In: Working Papers. RePEc:fae:wpaper:2020.16.

Full description at Econpapers || Download paper

2021Price Discovery and Learning during the German 5G Auction. (2021). Reining, Alexander ; Dimpfl, Thomas. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:274-:d:577012.

Full description at Econpapers || Download paper

2022Dynamic and Static Volatility Interruptions: Evidence from the Korean Stock Markets. (2022). Eom, Kyong Shik ; Park, Jong-Ho ; La, Sung Chae ; Kwon, Kyung Yoon. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:105-:d:758453.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021A European Emissions Trading System Powered by Distributed Ledger Technology: An Evaluation Framework. (2021). Li, Guodong ; Dong, Chuanwen ; Mandaroux, Rahel. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:4:p:2106-:d:500245.

Full description at Econpapers || Download paper

2020Liquidity commonality beyond best prices: Indian evidence. (2020). Dixit, Alok ; Vipul, ; Tripathi, Abhinava. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00164-3.

Full description at Econpapers || Download paper

2020Essays on Modern Market Structure. (2020). Khomyn, Marta. In: PhD Thesis. RePEc:uts:finphd:2-2020.

Full description at Econpapers || Download paper

2021Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets. (2021). Serra, Teresa ; He, Xinyue ; Garcia, Philip. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:103:y:2021:i:2:p:743-764.

Full description at Econpapers || Download paper

2020Prediction regions for interval‐valued time series. (2020). Gonzalezrivera, Gloria ; Ruiz, Esther ; Luo, Yun. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:4:p:373-390.

Full description at Econpapers || Download paper

2020Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market. (2020). Kwon, Kyungyoon ; Kang, Jangkoo ; Kim, Wooyeon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:2:p:164-191.

Full description at Econpapers || Download paper

2021Effectiveness of the conditional random?end trading mechanism on the Korea Exchange: Normal trade and Option Shock. (2021). Park, Jongho ; Kwon, Kyung Y ; Eom, Kyong S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1545-1568.

Full description at Econpapers || Download paper

2021Quantile information share under Markov regime?switching. (2021). Yu, Xiaojian ; Wang, Ziling ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:493-513.

Full description at Econpapers || Download paper

2022Information and the arrival rate of option trading volume. (2022). Kalaitzoglou, Iordanis ; Verousis, Thanos ; Zhang, Mengyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:605-644.

Full description at Econpapers || Download paper

2020From fundamentals to financial assets: the evolution of understanding price formation in the EU ETS. (2020). Mauer, Eva-Maria ; Friedrich, Marina ; Tietjen, Oliver ; Pahle, Michael. In: EconStor Preprints. RePEc:zbw:esprep:225210.

Full description at Econpapers || Download paper

2021Call of duty: Designated market maker participation in call auctions. (2021). Westheide, Christian ; Theissen, Erik. In: SAFE Working Paper Series. RePEc:zbw:safewp:319.

Full description at Econpapers || Download paper

Works by ROBERTO PASCUAL:


YearTitleTypeCited
2007On the Magnet Effect of Price Limits In: European Financial Management.
[Full Text][Citation analysis]
article18
2010SWITCHING TO A TEMPORARY CALL AUCTION IN TIMES OF HIGH UNCERTAINTY In: Journal of Financial Research.
[Full Text][Citation analysis]
article17
2007Switching to a temporary call auction in times of high uncertainty.(2007) In: CNMV Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2004What pieces of limit order book information are informative ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper12
2006Does the open limit order book matter in explaining long run volatility ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper4
1999How does liquidity behave? A multidimensional analysis of NYSE stocks In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]
paper0
2000BLM: bidimensional approach to measure liquidity In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]
paper1
2001Cross-listing, price discovery and the informativeness of the trading process In: DEE - Working Papers. Business Economics. WB.
[Full Text][Citation analysis]
paper46
2006Cross-listing, price discovery and the informativeness of the trading process.(2006) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
article
2003CROSS-LISTING, PRICE DISCOVERY AND THE INFORMATIVENESS OF THE TRADING PROCESS.(2003) In: Working Papers. Serie EC.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 46
paper
2000Dynamic asymmetries in bid-ask responses to innovations in the trading process In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2000Adverse selection costs, trading activity and liquidity in the NYSE: an empirical analysis in a dynamic context In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
paper0
2013Carbon Credits: Who is the Leader of the Pack? In: International Journal of Energy Economics and Policy.
[Full Text][Citation analysis]
article3
2017Trading system upgrades and short-sale bans: Uncoupling the effects of technology and regulation In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article2
2014The timeline of trading frictions in the European carbon market In: Energy Economics.
[Full Text][Citation analysis]
article35
2012The timeline of trading fricions in the European Carbon Market.(2012) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35
paper
2014The relative contribution of ask and bid quotes to price discovery In: Journal of Financial Markets.
[Full Text][Citation analysis]
article4
2015Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm In: Journal of Financial Markets.
[Full Text][Citation analysis]
article19
2004Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article5
2018Evaluating VPIN as a trigger for single-stock circuit breakers In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2015The friction-free weighted price contribution In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article1
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]
paper0
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2010Does the Open Limit Order Book Matter in Explaining Informational Volatility? In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article13
2009Does the open limit order book matter in explaining informational volatility?.(2009) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 13
paper
2006Asymmetries in bid and ask responses to innovations in the trading process In: Empirical Economics.
[Full Text][Citation analysis]
article16
2008Asymmetries in bid and ask responses to innovations in the trading process.(2008) In: Studies in Empirical Economics.
[Citation analysis]
This paper has another version. Agregated cites: 16
chapter
2004On the bi-dimensionality of liquidity In: The European Journal of Finance.
[Full Text][Citation analysis]
article3
2012On the hidden side of liquidity In: The European Journal of Finance.
[Full Text][Citation analysis]
article28
2009What pieces of limit order book information matter in explaining order choice by patient and impatient traders? In: Quantitative Finance.
[Full Text][Citation analysis]
article17
2009What pieces of LOB information are informative? An empirical analysis of a pure order driven market In: ULB Institutional Repository.
[Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team