Working Papers

Abad, D., Massot, M., Nawn, S., Pascual R., & J. Yagüe, (2023) "Message Traffic and Short-Term Illiquidity in High-Speed Markets".

Lluís Bru, Daniel Cardona and József Sákovics (2023) "Buying from the fringe (too)". Discussion Paper Series Number 310.

Chakrabarty, B., T. Hendershott, S. Nawn, & R.Pascual, (2023) "Order Exposure in High-Frequency Markets".

Frau, C., Fusai, G. & Kyriakou, I. (2023), "Spread Options on Commodity Prices".

Frau, C., Fusai, G. & Kyriakou, I. (2023), "Calendar Spread Options on Energy Commodities".

Indriawan, I., Pascual, R., & A. Shkilko (2023) "On the Effects of Continuous Trading".