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Dr Roberto Pascual Gascó

Dr Roberto Pascual Gascó
Full professor
Financial Economics and Accounting
  • Despatx DB107primer pisGaspar Melchor de Jovellanos

Curriculum

Brief CV

Full Professor (since April 2019) in Financial Economics and Financial Markets at the Business Department of the University of the Balearic Islands. Ph.D. in Economics (Universidad Carlos III de Madrid, Spain, 2001).

My research interests include Financial Market Microstructure (Empirics), High Frequency Trading, and Financial Econometrics. My research has been published at the Journal of Finance; Journal of Financial Markets; Journal of Banking and Finance; International Review of Economics and Finance; Quantitative Finance; Journal of Financial Econometrics; Journal of Financial Research; European Financial Management Journal; Energy Economics; International Review of Financial Analysis; European Journal of Finance; Journal of Management Review, and Empirical Economics, among other journals. I am also the author of four chapters in specialized books.

I have merited research awards from academic and professional Spanish associations - Asociación Española de Finanzas (2001, 2006) and Fundación de Estudios Financieros (2007); the Spanish Stock Exchange (2007, 2009, 2012, 2019); the Supervision Authority (CNMV) (2006). I have also won the Josseph de la Vega Prize of the Federation of European Securities Exchanges (2004), the Best Paper on Market Microstructure Award of the Northern Finance Association (2018), and the Plato Market Innovator (MI3) Prize (2020).

I have hold Visiting Fellow positions at the Salomon Center of the New York University (2003); ECARES, Université Libre de Bruxelles (2008), the International Center for Finance, Yale University (2012), and the Center for Financial Research at the Auckland University of Technology (2017), and at theJudge Business School of the University of Cambridge (2023).

My teaching activity includes undergraduate courses at the UIB and Master courses at UIB (Master in Big Data) and at the Barcelona Graduate School of Economics (Master in Finance) of the University Pompeu Fabra (Barcelona).

More information

Teaching

Office Hours

You need to book a date with the professor in order to attend a tutoring session

Teaching, 5 previous years

Subject Information
11648 - Finances and Econometrics with High-Frequency Data
20615 - Financial Economics
21222 - Final Degree Project in Business Administration
  • Degree in Business Administration2022-23
21228 - Financial Stock Markets

Research

Research groups

Group Membership type
Financial econometrics, banking and finance (EFBFIN) Member

Publications

RECENT PUBLICATIONS

OTHER SELECTED PUBLICATIONS:

Working papers

  • Chakrabarty, B., T. Hendershott, S. Nawn, and R. Pascual, 2022, "Order Exposure in High-Frequency Markets" (https://ssrn.com/abstract=3074049) - Winner of the best paper award on Market Microstructure at the Northern Finance Association Meeting (Quebec, 2018); Winner BME best paper award on Equity Markets at the 27th Finance Forum (Madrid, 2019); Winner of the best paper award at the Plato Market Innovator (MI3) Conference on Market Structure in Europe and Beyond.

  • Abad, D., M. Massot, S. Nawn, R. Pascual, and J. Yagüe, 2022. "Order-Flow-Based Leading Indicators of short-term Liquidity Shortfalls", (https://ssrn.com/abstract=347429).

  • Abad, D., N. Nieto, R. Pascual, and G. Rubio, 2022. "Market-Wide Illiquidity and the Volatility of a Model-Free Stochastic Discount Factor" (https://ssrn.com/abstract=3601732)

  • Chakrabarty, B., C. Comerton-Forde, and R. Pascual, 2022. "Identifying HFT Activity Without Proprietary Data" (First draft available from the authors)

  • Indriawan, I., R. Pascual, and A. Shkilko, 2022. "On the Effects of Continuous Trading" (https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3707154)

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