6
H index
5
i10 index
164
Citations
Gaelle Le Fol : Citation Profile
Université Paris-Dauphine (Paris IX) | RESEARCH PRODUCTION: 8 Articles 47 Papers 1 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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24 years (1997 - 2021). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Gaelle Le Fol. | Is cited by:
| Cites to:
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Main data
Where Gaelle Le Fol has published?
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 33 |
| Working Papers / Center for Research in Economics and Statistics | 6 |
| Working Papers / HAL | 3 |
Recent works citing Gaelle Le Fol (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Universal Trading for Order Execution with Oracle Policy Distillation. (2021). Yu, Yong ; Bian, Jiang ; Zhang, Weinan ; Zhou, Dong ; Liu, Weiqing ; Ren, Kan ; Fang, Yuchen. In: Papers. RePEc:arx:papers:2103.10860. Full description at Econpapers || Download paper |
| 2022 | Distributional Correlation--Aware Knowledge Distillation for Stock Trading Volume Prediction. (2022). Sun, XU ; Harimoto, Keiko ; Bao, Ruihan ; Zhang, Zhiyuan ; Li, Lei. In: Papers. RePEc:arx:papers:2208.07232. Full description at Econpapers || Download paper |
| 2021 | The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67. Full description at Econpapers || Download paper |
| 2021 | Sell-side analyst reports and decision-maker reactions: Role of heuristics. (2021). Lima, Fabiano Guasti ; Machado, Andre. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001040. Full description at Econpapers || Download paper |
| 2023 | Modeling and inference for multivariate time series of counts based on the INGARCH scheme. (2023). Kim, Byungsoo ; Lee, Sangyeol. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:177:y:2023:i:c:s0167947322001591. Full description at Econpapers || Download paper |
| 2021 | Stock market volatility and public information flow: A non-linear perspective. (2021). Borup, Daniel ; Bertelsen, Kristoffer Pons ; Jakobsen, Johan Stax. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001828. Full description at Econpapers || Download paper |
| 2021 | Do stock markets love misery? Evidence from the COVID-19. (2021). Lee, Robert ; Rossi, Fabrizio ; Harjoto, Maretno Agus ; Sergi, Bruno S. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612321000040. Full description at Econpapers || Download paper |
| 2021 | How do equity markets react to COVID-19? Evidence from emerging and developed countries. (2021). Sergi, Bruno S ; Lee, Robert ; Rossi, Fabrizio ; Harjoto, Maretno Agus. In: Journal of Economics and Business. RePEc:eee:jebusi:v:115:y:2021:i:c:s0148619520304100. Full description at Econpapers || Download paper |
| 2022 | Liquidity in the global currency market. (2022). de Magistris, Paolo Santucci ; Ranaldo, Angelo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:3:p:859-883. Full description at Econpapers || Download paper |
| 2023 | The Effects of Volatility on Liquidity in the Treasury Market. (2023). Sokolinskiy, Oleg ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-28. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2021 | Using a Genetic Algorithm to Build a Volume Weighted Average Price Model in a Stock Market. (2021). Lee, Hee Soo ; Jeong, Seung Hwan ; Oh, Kyongjoo ; Nam, Hyun. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1011-:d:483338. Full description at Econpapers || Download paper |
| 2021 | Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework. (2021). , Antonio ; Antonio, . In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-019-09958-z. Full description at Econpapers || Download paper |
| 2021 | Minimum tick size reduction and stock liquidity: lessons from the Warsaw Stock Exchange. (2021). Stereczak, Szymon. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:52:y:2021:i:6:p:545-576. Full description at Econpapers || Download paper |
| 2023 | The impact of bank loan announcements on stock liquidity. (2023). Vu, Van Hoang ; Singh, Harminder ; Pham, Thu Phuong. In: MPRA Paper. RePEc:pra:mprapa:116398. Full description at Econpapers || Download paper |
| 2021 | Stock Market Liquidity: A Literature Review. (2021). Reddy, Y V ; Naik, Priyanka. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244020985529. Full description at Econpapers || Download paper |
| 2021 | Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume. (2021). Antulov-Fantulin, Nino ; Lillo, Fabrizio ; Guo, Tian. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00344-9. Full description at Econpapers || Download paper |
| 2021 | A simple linear alternative to multiplicative error models with an application to trading volume. (2021). Clements, Adam ; Volkov, Vladimir ; Hurn, Stan. In: Working Papers. RePEc:tas:wpaper:38716. Full description at Econpapers || Download paper |
Gaelle Le Fol has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Gaelle Le Fol:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2000 | Intraday Transaction Price Dynamics In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 1999 | Intraday Transaction Price Dynamics.(1999) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2007 | Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework. In: Working papers. [Full Text][Citation analysis] | paper | 5 |
| 2009 | Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework.(2009) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2010 | Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework.(2010) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2010 | Liquidity problems in the FX liquid market: Ask for the BIL. In: Working papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Liquidity Problems in the FX Liquid Market : Ask for the BIL .(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2008 | Taking into account extreme events in European option pricing. In: Financial Stability Review. [Full Text][Citation analysis] | article | 1 |
| 2008 | Taking into account extreme events in European option pricing.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1997 | Modes de négociation et caractéristiques de marché In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 2001 | Ajustement des prix bid et ask en présence dinformation privée In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2003 | Trading Volume and Arbitrage In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Trading volume and Arbitrage.(2014) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2014 | Trading Volume and Arbitrage.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2014 | Trading volume and Arbitrage.(2014) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2005 | Decomposing Volume for VWAP Strategies In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Temps Aléatoire et Dynamique du Carnet d’ordres In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Matching Procedures and Market Characteristics In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics. [Full Text][Citation analysis] | article | 12 |
| 2017 | Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 1999 | Intra-day market activity In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 54 |
| 1999 | Intra-day market activity.(1999) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
| 2008 | Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 35 |
| 2006 | Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2008 | Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2008 | Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2015 | Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | Intrinsic Liquidity in Conditional Volatility Models In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Measuring the Liquidity Part of Volume In: Post-Print. [Citation analysis] | paper | 13 |
| 2015 | Measuring the Liquidity Part of Volume.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2014 | Liquidity risk and contagion for liquid funds In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Contagion in Emerging Markets In: Post-Print. [Citation analysis] | paper | 1 |
| 2015 | Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books. [Citation analysis] This paper has another version. Agregated cites: 1 | chapter | |
| 2013 | Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2012 | Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Liquidité et risque de liquidité In: Post-Print. [Citation analysis] | paper | 0 |
| 2017 | Big Data : Quelle révolution pour les marchés financiers et la gestion de portefeuille In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Le retour de la volatilité: asphyxie ou nouveau souffle ? In: Post-Print. [Citation analysis] | paper | 0 |
| 2009 | Returns and Volume: Between Information andLiquidity In: Post-Print. [Citation analysis] | paper | 0 |
| 1998 | Effet des Modes de Négociation sur les Echanges In: Post-Print. [Citation analysis] | paper | 5 |
| 1998 | Effet des modes de négociation sur les échanges.(1998) In: Revue Économique. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2004 | Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print. [Citation analysis] | paper | 1 |
| 2004 | Nouvelles techniques de gestion et leur impact sur la volatilité.(2004) In: Revue d'Économie Financière. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 1998 | Time Deformation: Definition and Comparisons In: Post-Print. [Citation analysis] | paper | 9 |
| 2009 | How Liquid are Markets? In: Post-Print. [Citation analysis] | paper | 0 |
| 2010 | Euro money market interest rates dynamics and volatility In: Post-Print. [Citation analysis] | paper | 0 |
| 2012 | MLiq a meta liquidity measure In: Post-Print. [Citation analysis] | paper | 0 |
| 2013 | MLiq a meta liquidity measure.(2013) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2012 | Liquidity contagion: A look at emerging markets In: Post-Print. [Citation analysis] | paper | 1 |
| 1997 | Volatilités et mesures de risque In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Bivariate integer-autoregressive process with an application to mutual fund flows In: Post-Print. [Full Text][Citation analysis] | paper | 2 |
| 2021 | A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers. [Citation analysis] | paper | 0 |
| 2021 | Forecasting Intra-daily Liquidity in Large Panels In: Working Papers. [Citation analysis] | paper | 0 |
| 2010 | Liquidity Problems in the FX Liquid Market In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
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