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Details about Gaelle Le Fol

Workplace:Dauphine Recherches en Management (DRM), Université Paris-Dauphine (Paris IX) (University of Paris 9), (more information at EDIRC)

Access statistics for papers by Gaelle Le Fol.

Last updated 2014-05-07. Update your information in the RePEc Author Service.

Short-id: ple522


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Working Papers

2011

  1. A propos du trading haute fréquence
    Economics Papers from University Paris Dauphine, Paris Dauphine University

2010

  1. Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
    Economics Papers from University Paris Dauphine, Paris Dauphine University Downloads
    Also in Working papers, Banque de France (2007) Downloads

    See also Journal Article in International Journal of Finance & Economics (2010)
  2. Liquidity Problems in the FX Liquid Market
    Economics Papers from University Paris Dauphine, Paris Dauphine University View citations (1)
    Also in Working Papers, HAL (2010) Downloads
  3. Liquidity Problems in the FX Liquid Market: Ask for the BIL" "
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in Working papers, Banque de France (2010) Downloads
  4. When Market Illiquidity Generates Volumes
    Working Papers, HAL Downloads

2009

  1. How liquid are markets: an Application to Stock Markets
    Economics Papers from University Paris Dauphine, Paris Dauphine University

2008

  1. Taking into account extreme events in European option pricing
    Economics Papers from University Paris Dauphine, Paris Dauphine University Downloads View citations (1)
    See also Journal Article in Financial Stability Review (2008)

2006

  1. Improving VWAP strategies: A dynamical volume approach
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne Downloads
    See also Journal Article in Journal of Banking & Finance (2008)

2005

  1. Decomposing Volume for VWAP Strategies
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

2003

  1. Trading Volume and Arbitrage
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)

2001

  1. Ajustement des prix bid et ask en présence d'information privée
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (6)

1999

  1. Intra-day market activity
    Economics Papers from University Paris Dauphine, Paris Dauphine University View citations (28)
    See also Journal Article in Journal of Financial Markets (1999)

1998

  1. Effet des modes de négociation sur les échanges
    Economics Papers from University Paris Dauphine, Paris Dauphine University View citations (2)
    See also Journal Article in Revue Économique (1998)
  2. Matching Procedures and Market Characteristics
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  3. Temps Aléatoire et Dynamique du Carnet d’ordres
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  4. Time Deformation: Definition and Comparisons
    Economics Papers from University Paris Dauphine, Paris Dauphine University View citations (6)

1997

  1. Modes de négociation et caractéristiques de marché
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    Also in Economics Papers from University Paris Dauphine, Paris Dauphine University (1997)
  2. Volatilités et mesures de risque
    Post-Print, HAL Downloads
    Also in Economics Papers from University Paris Dauphine, Paris Dauphine University (1997)

Journal Articles

2010

  1. Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
    International Journal of Finance & Economics, 2010, 15, (4), 316-330 Downloads View citations (2)
    See also Working Paper (2010)

2008

  1. Improving VWAP strategies: A dynamic volume approach
    Journal of Banking & Finance, 2008, 32, (9), 1709-1722 Downloads View citations (8)
    See also Working Paper (2006)
  2. Taking into account extreme events in European option pricing
    Financial Stability Review, 2008, (12), 39-51 Downloads
    See also Working Paper (2008)

2004

  1. Nouvelles techniques de gestion et leur impact sur la volatilité
    Revue d'Économie Financière, 2004, 74, (1), 231-243 Downloads View citations (1)

2000

  1. Intraday Transaction Price Dynamics
    Annales d'Economie et de Statistique, 2000, (60), 207-238 Downloads View citations (5)

1999

  1. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 Downloads View citations (32)
    See also Working Paper (1999)

1998

  1. Effet des modes de négociation sur les échanges
    Revue Économique, 1998, 49, (3), 795-808 Downloads View citations (3)
    See also Working Paper (1998)
 
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