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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 2016-01-09. Update your information in the RePEc Author Service.

Short-id: ple522


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Working Papers

2015

  1. Financial Market Liquidity: Who Is Acting Strategically?
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Downloads

2014

  1. Trading volume and Arbitrage
    Post-Print, HAL
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2003) Downloads View citations (2)

2013

  1. MLiq a meta liquidity measure
    Post-Print, HAL
    Also in Post-Print, HAL (2012)

2012

  1. Liquidity contagion: A look at emerging markets
    Post-Print, HAL

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. Euro money market interest rates dynamics and volatility
    Post-Print, HAL
  3. 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
  4. Liquidity Problems in the FX Liquid Market: Ask for the BIL" "
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    Also in Working papers, Banque de France (2010) Downloads View citations (1)
  5. When Market Illiquidity Generates Volumes
    Working Papers, HAL Downloads

2009

  1. How Liquid are Markets?
    Post-Print, HAL
  2. How liquid are markets: an Application to Stock Markets
    Economics Papers from University Paris Dauphine, Paris Dauphine University
  3. Returns and Volume: Between Information andLiquidity
    Post-Print, HAL

2008

  1. Improving VWAP strategies: A dynamic volume approach
    Post-Print, HAL View citations (3)
    Also in Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2006) Downloads

    See also Journal Article in Journal of Banking & Finance (2008)
  2. Taking into account extreme events in European option pricing
    Post-Print, HAL
    Also in Post-Print, HAL (2008)
    Economics Papers from University Paris Dauphine, Paris Dauphine University (2008) Downloads View citations (2)

    See also Journal Article in Financial Stability Review (2008)

2005

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

2004

  1. Nouvelles techniques de gestion et leur impact sur la volatilité
    Post-Print, HAL
    Also in Post-Print, HAL (2004)

    See also Journal Article in Revue d'Économie Financière (2004)

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 (5)

1999

  1. Intra-day market activity
    Post-Print, HAL
    Also in Economics Papers from University Paris Dauphine, Paris Dauphine University (1999) View citations (32)

    See also Journal Article in Journal of Financial Markets (1999)
  2. Intraday Transaction Price Dynamics
    Post-Print, HAL

1998

  1. Effet des Modes de Négociation sur les Echanges
    Post-Print, HAL
    Also in Economics Papers from University Paris Dauphine, Paris Dauphine University (1998) View citations (3)

    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)
    Also in Post-Print, HAL (1998) View citations (5)

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 (14)
    See also Working Paper (2008)
  2. Taking into account extreme events in European option pricing
    Financial Stability Review, 2008, (12), 39-51 Downloads View citations (1)
    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)
    See also Working Paper (2004)

1999

  1. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 Downloads View citations (36)
    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 (4)
    See also Working Paper (1998)

Edited books

2013

  1. Illiquidité, contagion et risque systémique
    Economics Thesis from University Paris Dauphine, Paris Dauphine University Downloads
  2. Specification analysis of interest rates factors: an international perspective
    Economics Thesis from University Paris Dauphine, Paris Dauphine University Downloads
 
Page updated 2016-02-13