Dr Roberto Pascual Gascó
- 971171329 (1329)
- 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 sessionSubjects taught. Academic Year 2024-25
- 21222 - Final Degree Project in Business Administration. Double degree in Business Administration and Law - Majorca.
- 21222 - Final Degree Project in Business Administration. Degree in Business Administration - Ibiza.
- 21222 - Final Degree Project in Business Administration. Degree in Business Administration - Majorca.
- 21222 - Final Degree Project in Business Administration. Double Degree in Business Administration and Tourism - Majorca.
- 20615 - Financial Economics. Degree in Economics - Majorca.
- 20615 - Financial Economics. Double degree in Economics and Tourism - Majorca.
- 21228 - Financial Stock Markets. Double degree in Business Administration and Law - Majorca.
- 21228 - Financial Stock Markets. Degree in Business Administration - Majorca.
- 21228 - Financial Stock Markets. Double Degree in Business Administration and Tourism - Majorca.
- 11648 - Finances and Econometrics with High-Frequency Data. Master's Degree in Big Data Analysis in Economics and Business.
Teaching, 5 previous years
| Subject | Information |
|---|---|
| 11648 - Finances and Econometrics with High-Frequency Data | |
| 20615 - Financial Economics | |
| 21222 - Final Degree Project in Business Administration | |
| 21228 - Financial Stock Markets |
Research
Research groups
| Group | Membership type |
|---|---|
| Financial econometrics, banking and finance (EFBFIN) | Member |
Specialties
Publications
RECENT PUBLICATIONS
- Menkveld, A., A. Dreber, F. Holzmeister et al., 2023. “Non-Standard Errors”. The Journal of Finance, forthcoming (https://ssrn.com/abstract=3961574)
- Dodd, O., B. Frijns, I. Indriawan, and R. Pascual, 2023, “US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks” Journal of Empirical Finance, forthcoming (https://doi.org/10.1016/j.jempfin.2023.03.012)
- Chakrabarty, B., and R. Pascual, 2023. “Stock Liquidity and Algorithmic Market Making during the COVID-19 Crisis.” Journal of Banking and Finance, 147, 106415 (https://doi.org/10.1016/j.jbankfin.2022.106415)
- 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.(https://doi.org/10.1016/j.jbankfin.2017.08.009)
- 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. (https://doi.org/10.1016/j.jempfin.2017.05.004)
- 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. (https://doi.org/http://dx.doi.org/10.1016/j.finmar.2015.06.001)
- Abad, D., and R. Pascual, 2015, “The friction-free weighted price contribution.” International Review of Economics and Finance, 37, 226-239. (https://doi.org/http://dx.doi.org/10.1016/j.iref.2014.11.025)
- 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. (https://doi.org/10.1016/j.finmar.2014.07.001)
OTHER SELECTED PUBLICATIONS:
- Medina, V., A. Pardo and R. Pascual, 2014, The timeline of trading frictions in the European CO2 market. Energy Economics 42, 378-394. (https://doi.org/http://dx.doi.org/10.1016/j.eneco.2014.01.008 )
- Pardo, A., and R. Pascual, 2012, On the Hidden Side of Liquidity, European Journal of Finance, 18, 10, 949-967. (https://doi.org/http://dx.doi.org/10.1080/1351847X.2011.601641)
- 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. (https://doi.org/10.1111/j.1475-6803.2010.01262.x)
- Pascual, R. and D. Veredas, 2010, Does the Open Limit Order Book Matter in Explaining Informational Volatility?, Journal of Financial Econometrics 8, 57-87. (https://doi.org/10.1093/jjfinec/nbp021 )
- 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. (https://doi.org/10.1016/j.finmar.2006.01.002)
- 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. (https://doi.org/10.1016/S0378-4266(02)00400-4)
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)