Details about Gaelle Le Fol

Access statistics for papers by Gaelle Le Fol.

Last updated 2012-10-30. Update your information in the RePEc Author Service.

Short-id: ple522

Working Papers

2010

1. Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
   Also in Working papers, Banque de France (2007)
   See also Journal Article in International Journal of Finance & Economics (2010)
2. Liquidity Problems in the FX Liquid Market
   Working Papers, HAL
3. Liquidity Problems in the FX Liquid Market: Ask for the BIL" "
   Working Papers, Centre de Recherche en Economie et Statistique
   Also in Working papers, Banque de France (2010)
4. When Market Illiquidity Generates Volumes
   Working Papers, HAL

2008

5. Taking into account extreme events in European option pricing
   Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
   See also Journal Article in Financial Stability Review (2008)

2005

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

2003

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

2001

8. Ajustement des prix bid et ask en présence d'information privée
   Working Papers, Centre de Recherche en Economie et Statistique View citations (7)

1998

9. Matching Procedures and Market Characteristics
   Working Papers, Centre de Recherche en Economie et Statistique
10. Temps Aléatoire et Dynamique du Carnet d’ordres
    Working Papers, Centre de Recherche en Economie et Statistique

1997

11. Modes de négociation et caractéristiques de marché
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

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 View citations (1)
   See also Working Paper (2010)

2008

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

2004

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

2000

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

1999

6. Intra-day market activity
   Journal of Financial Markets, 1999, 2, (3), 193-226 View citations (29)

1998

7. Effet des modes de négociation sur les échanges
   Revue Économique, 1998, 49, (3), 795-808