Roberto Pascual Gascó

Roberto Pascual Gascó

Associate Professor

Financial Economics Area

 
Jovellanos Building DB107
Phone: (+34) 971 171329
Fax: (+34) 971 172389
Curriculum Vitaeanglès
 
 

ADMINISTRATIVE POSITIONS

  • Secretary of the Economics and Business Faculty (UIB)
  • Responsible of Scientific Journals, Business Economics Department (UIB)
  • Webmaster, Business Economics Department (UIB)
  • Main researcher of the research group: Financial economics (UIB)

 

RESEARCH

MAIN RESEARCH TOPICS

  • Microstructure of financial markets
  • Liquidity and price formation in equity markets
  • Financial econometrics with high frequency data

SELECTED PUBLICATIONS

  • R. Pascual and B. Pascual-Fuster, 2014, “The relative contribution of ask and bid quotes to price discovery”. Journal of Financial Markets, forthcoming.
  • Medina, V., A. Pardo and R. Pascual, 2014, "The timeline of trading frictions in the European CO2 market". Energy Economics, 42, 378-394.
  • A. Pardo and R. Pascual, 2012, “On the hidden side of liquidity”. European Journal of Finance, 18, 10, 949-967.
  • D. Abad and R. Pascual, 2010, “Switching to a temporary call auction in times of high uncertainty”. Journal of Financial Research, 33, 1, 45-75.
  • R. Pascual and D. Veredas, 2010, “Does the Open Limit Order Book Matter in Explaining Informational Volatility?”. Journal of Financial Econometrics, 8, 1, 57-87.
  • R. Pascual and D. Veredas, 2009, “What pieces of limit order book information matter in explaining the behavior of aggressive and patient traders?”. Quantitative Finance, 9, 5, 527-545.
  • R. Pascual, B. Pascual-Fuster and F. Climent, 2006, “Cross-listing, Price Discovery, and the Informativeness of the Trading Process”. Journal of Financial Markets, 9, 2, 144-161.
  • R. Pascual, A. Escribano and M. Tapia, 2004, “Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis”, Journal of Banking and Finance, 28, 1, 107-128.

WORKING PAPERS

  • B. Chakrabarty, R. Pascual and A. Shkilko, 2013, "Trade classification algorithms: A horse race between the bulk-based and the tick-based rules"enllaç al document
  • D. Abad and R. Pascual, 2011, “The friction-free Weighted Price Contribution”enllaç al document

OTHER

  • Member of the Federation of European Securities Exchanges (FESE) Expert Committee