Gaelle Le Fol : Citation Profile


Are you Gaelle Le Fol?

Université Paris-Dauphine (Paris IX)

6

H index

6

i10 index

170

Citations

RESEARCH PRODUCTION:

8

Articles

47

Papers

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   24 years (1997 - 2021). See details.
   Cites by year: 7
   Journals where Gaelle Le Fol has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 10 (5.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple522
   Updated: 2023-08-19    RAS profile: 2022-01-06    
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Relations with other researchers


Works with:

darolles, serge (5)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gaelle Le Fol.

Is cited by:

Giot, Pierre (6)

Hautsch, Nikolaus (5)

Veredas, David (5)

Santucci de Magistris, Paolo (4)

Grammig, Joachim (4)

Ranaldo, Angelo (4)

darolles, serge (4)

Jasiak, Joann (4)

Bauwens, Luc (4)

Uctum, Remzi (3)

Prat, Georges (3)

Cites to:

darolles, serge (17)

Engle, Robert (12)

gourieroux, christian (11)

Jasiak, Joann (10)

Grossman, Sanford (10)

Tauchen, George (8)

Lo, Andrew (8)

Trzcinka, Charles (7)

Bollerslev, Tim (7)

Trzcinka, Charles (7)

Andersen, Torben (6)

Main data


Where Gaelle Le Fol has published?


Working Papers Series with more than one paper published# docs
Post-Print / HAL33
Working Papers / Center for Research in Economics and Statistics6
Working Papers / HAL3

Recent works citing Gaelle Le Fol (2022 and 2021)


YearTitle of citing document
2021Universal 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.

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2022Distributional 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.

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2022Hierarchical Deep Reinforcement Learning for VWAP Strategy Optimization. (2022). Li, Qing ; Zou, Chenxin ; Wu, Pangjing. In: Papers. RePEc:arx:papers:2212.14670.

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2023The role of the U.S. exchange?rate equity market volatility on agricultural exports and forecasts. (2023). Nganje, William ; Addey, Kwame Asiam. In: Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie. RePEc:bla:canjag:v:71:y:2023:i:1:p:25-47.

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2023Flexible bivariate INGARCH process with a broad range of contemporaneous correlation. (2023). Ombao, Hernando ; Barretosouza, Wagner. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:44:y:2023:i:2:p:206-222.

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2021The 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.

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2021Sell-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.

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2023Modeling 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.

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2021Stock 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.

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2021Do 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.

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2021How 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.

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2022Liquidity 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.

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2023The 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.

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2021.

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2021Using 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.

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2021Bayesian 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.

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2021Minimum 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.

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2023The impact of bank loan announcements on stock liquidity. (2023). Vu, Van Hoang ; Singh, Harminder ; Pham, Thu Phuong. In: MPRA Paper. RePEc:pra:mprapa:116398.

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2021Stock 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.

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2021Temporal 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.

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2021A 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.

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Gaelle Le Fol has edited the books:


YearTitleTypeCited

Works by Gaelle Le Fol:


YearTitleTypeCited
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
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article10
1999Intraday Transaction Price Dynamics.(1999) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 10
paper
2007Euro money market interest rates dynamics and volatility: How they respond to recent changes in the operational framework. In: Working papers.
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paper5
2009Euro 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
2010Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework.(2010) In: International Journal of Finance & Economics.
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This paper has another version. Agregated cites: 5
article
2010Liquidity problems in the FX liquid market: Ask for the BIL. In: Working papers.
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paper2
2010Liquidity Problems in the FX Liquid Market : Ask for the BIL .(2010) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
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article1
2008Taking into account extreme events in European option pricing.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1997Modes de négociation et caractéristiques de marché In: CEPREMAP Working Papers (Couverture Orange).
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paper0
2001Ajustement des prix bid et ask en présence dinformation privée In: Working Papers.
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paper5
2003Trading Volume and Arbitrage In: Working Papers.
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paper5
2014Trading volume and Arbitrage.(2014) In: Post-Print.
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This paper has another version. Agregated cites: 5
paper
2014Trading Volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2014Trading volume and Arbitrage.(2014) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 5
paper
2005Decomposing Volume for VWAP Strategies In: Working Papers.
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paper0
1998Temps Aléatoire et Dynamique du Carnet d’ordres In: Working Papers.
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paper0
1998Matching Procedures and Market Characteristics In: Working Papers.
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paper0
2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
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article14
2017Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
1999Intra-day market activity In: Journal of Financial Markets.
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article54
1999Intra-day market activity.(1999) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 54
paper
2008Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance.
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article36
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
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This paper has another version. Agregated cites: 36
paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 36
paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 36
paper
2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
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paper0
2016Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print.
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paper0
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
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paper0
2015Measuring the Liquidity Part of Volume In: Post-Print.
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paper13
2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 13
paper
2014Liquidity risk and contagion for liquid funds In: Post-Print.
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paper0
2014Contagion in Emerging Markets In: Post-Print.
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paper1
2015Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books.
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This paper has another version. Agregated cites: 1
chapter
2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
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paper1
2012Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
2012Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume In: Post-Print.
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paper0
2016Liquidité et risque de liquidité In: Post-Print.
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paper0
2017Big Data : Quelle révolution pour les marchés financiers et la gestion de portefeuille In: Post-Print.
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paper0
2019Le retour de la volatilité: asphyxie ou nouveau souffle ? In: Post-Print.
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paper0
2009Returns and Volume: Between Information andLiquidity In: Post-Print.
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paper0
1998Effet des Modes de Négociation sur les Echanges In: Post-Print.
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paper6
1998Effet des modes de négociation sur les échanges.(1998) In: Revue Économique.
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This paper has another version. Agregated cites: 6
article
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print.
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paper1
2004Nouvelles techniques de gestion et leur impact sur la volatilité.(2004) In: Revue d'Économie Financière.
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This paper has another version. Agregated cites: 1
article
1998Time Deformation: Definition and Comparisons In: Post-Print.
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paper10
2009How Liquid are Markets? In: Post-Print.
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paper0
2010Euro money market interest rates dynamics and volatility In: Post-Print.
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paper0
2012MLiq a meta liquidity measure In: Post-Print.
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paper0
2013MLiq a meta liquidity measure.(2013) In: Post-Print.
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This paper has another version. Agregated cites: 0
paper
2012Liquidity contagion: A look at emerging markets In: Post-Print.
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paper1
1997Volatilités et mesures de risque In: Post-Print.
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paper0
2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Post-Print.
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paper3
2021A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers.
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paper0
2021Forecasting Intra-daily Liquidity in Large Panels In: Working Papers.
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paper0
2010Liquidity Problems in the FX Liquid Market In: Working Papers.
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paper2

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