Skip to content

Dr Roberto Pascual Gascó
Dr Roberto Pascual Gascó
Full Professor
Financial Economics and Accounting
  • Despatx DB107Primer pisGaspar Melchor de Jovellanos

    Dr Roberto Pascual Gascó


    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 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; European Journal of Finance; Journal of Management Review, and Empirical Economics, among other journals. I am also the author of three 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), and the Best Paper on Market Microstructure Award of the Northern Finance Association (2018).

    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).

    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


    Office Hours

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

    Teaching, 5 previous years

    Subject Degree
    11648 - Finances and Econometrics with High-Frequency Data
    20615 - Financial Economics
    21228 - Financial Stock Markets


    Research groups

    Group Membership type
    Financial economics Main researcher



    • Abad, D., M. Massot, and R. Pascual, 2018. Evaluating VPIN as a trigger for single-stock circuit breakers. Journal of Banking and Finance, 86, 21-36.
    • Chakrabarty, B., Pamela C. Moulton, and R. Pascual, 2017. Trading System Upgrades and Short-Sale Bans: Uncoupling the Effects of Technology and Regulation. Journal of Empirical Finance, 43, 74-90. 
    • Chakrabarty, B., R. Pascual, and A. Shkilko, 2015. Evaluating trade classification algorithms: bulk volume classification versus the tick rule and the Lee-Ready algorithm. Journal of Financial Markets, 25, 52-79.
    • Abad, D., and R. Pascual, 2015, The friction-free weighted price contribution. International Review of Economics and Finance, 37, 226-239. 
    • Pascual, R., and B. Pascual-Fuster, 2014, The relative contribution of ask and bid quotes to price discovery. Journal of Financial Markets, 20, 129-150. 


    • Medina, V., A. Pardo and R. Pascual, 2014, The timeline of trading frictions in the European CO2 market. Energy Economics 42, 378-394. 
    • Pardo, A., and R. Pascual, 2012, On the Hidden Side of Liquidity, European Journal of Finance, 18, 10, 949-967.
    • Abad, D., and R. Pascual, 2010, Switching to a temporary call auction in times of high uncertainty, Journal of Financial Research 33, 1, 45-75.
    • Pascual, R. and D. Veredas, 2010, Does the Open Limit Order Book Matter in Explaining Informational Volatility?, Journal of Financial Econometrics 8, 57-87.
    • Pascual, R., Pascual-Fuster, and B., F. Climent, 2006, Cross-listing, Price Discovery, and the Informativeness of the Trading Process, Journal of Financial Markets 9, 144-161.
    • Pascual, R., Escribano, A. and M. Tapia, 2004, Adverse selection costs, trading activity and price discovery in the NYSE: An empirical analysis, Journal of Banking and Finance 28, 107-128.

    Working papers

    • Chakrabarty, B., T. Hendershott, S. Nawn, and R. Pascual, 2019, Order Exposure in High-Frequency Markets, ( - winner of the best paper award on Market Microstructure at the Northern Finance Association Meeting (Quebec, 2018) and BME best paper award on Equity Markets at the 27th Finance Forum (Madrid, 2019)

    • Abad, D., M. Massot, S. Nawn, R. Pascual, and J. Yagüe, 2019. Order Flow Toxicity under the Microscope, (

    Google+ UIB