Gaelle Le Fol : Citation Profile

Are you Gaelle Le Fol?

Université Paris-Dauphine (Paris IX)

6

H index

6

i10 index

172

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: 10.    Total self citations: 10 (5.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ple522
   Updated: 2023-11-04    RAS profile: 2022-01-06    
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Relations with other researchers

Works with:

darolles, serge (3)

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)

Grammig, Joachim (4)

Ranaldo, Angelo (4)

Jasiak, Joann (4)

Bauwens, Luc (4)

Santucci de Magistris, Paolo (4)

darolles, serge (4)

Prat, Georges (3)

Uctum, Remzi (3)

Cites to:

darolles, serge (17)

Engle, Robert (12)

gourieroux, christian (11)

Grossman, Sanford (10)

Jasiak, Joann (10)

Tauchen, George (8)

Lo, Andrew (8)

Trzcinka, Charles (7)

Bollerslev, Tim (7)

Trzcinka, Charles (7)

Campbell, John (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 (2023 and 2022)

YearTitle of citing document
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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution. (2023). Hong, Youngjoon ; Sul, Hong Kee ; Kim, Jimyeong. In: Papers. RePEc:arx:papers:2307.10649.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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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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.

Full description at Econpapers || Download paper

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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2023On bivariate threshold Poisson integer-valued autoregressive processes. (2023). Wang, Dehui ; Li, Han ; Zhao, Yiwei ; Yang, Kai. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:8:d:10.1007_s00184-023-00899-0.

Full description at Econpapers || Download paper

Gaelle Le Fol has edited the books:

YearTitleTypeCited

Works by Gaelle Le Fol:

YearTitleTypeCited
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2010Liquidity problems in the FX liquid market: Ask for the BIL. In: Working papers.
[Full Text][Citation analysis]		paper2
2010Liquidity 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
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
[Full Text][Citation analysis]		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).
[Full Text][Citation analysis]		paper0
2001Ajustement des prix bid et ask en présence dinformation privée In: Working Papers.
[Full Text][Citation analysis]		paper5
2003Trading Volume and Arbitrage In: Working Papers.
[Full Text][Citation analysis]		paper5
2014Trading volume and Arbitrage.(2014) In: Post-Print.
[Full Text][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
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.
[Full Text][Citation analysis]		paper0
1998Temps Aléatoire et Dynamique du Carnet d’ordres In: Working Papers.
[Full Text][Citation analysis]		paper0
1998Matching Procedures and Market Characteristics In: Working Papers.
[Full Text][Citation analysis]		paper0
2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows In: Journal of Econometrics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article37
2006Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 37		paper
2008Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 37		paper
2015Financial Market Liquidity: Who Is Acting Strategically? In: THEMA Working Papers.
[Full Text][Citation analysis]		paper0
2016Gauging Liquidity Risk in Emerging Market Bond Index Funds In: Post-Print.
[Citation analysis]		paper0
2016Intrinsic Liquidity in Conditional Volatility Models In: Post-Print.
[Citation analysis]		paper0
2015Measuring the Liquidity Part of Volume In: Post-Print.
[Citation analysis]		paper13
2015Measuring the Liquidity Part of Volume.(2015) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 13		paper
2014Liquidity risk and contagion for liquid funds In: Post-Print.
[Full Text][Citation analysis]		paper0
2014Contagion in Emerging Markets In: Post-Print.
[Citation analysis]		paper1
2015Contagion in Emerging Markets.(2015) In: Palgrave Macmillan Books.
[Citation analysis]
This paper has another version. Agregated cites: 1		chapter
2013Liquidity Contagion. The Emerging Sovereign Debt Markets example In: Post-Print.
[Full Text][Citation analysis]		paper1
2012Liquidity Contagion. The Emerging Sovereign Debt Markets example.(2012) In: Post-Print.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		paper0
2016Liquidité et risque de liquidité In: Post-Print.
[Citation analysis]		paper0
2017Big Data : Quelle révolution pour les marchés financiers et la gestion de portefeuille In: Post-Print.
[Full Text][Citation analysis]		paper0
2019Le retour de la volatilité: asphyxie ou nouveau souffle ? In: Post-Print.
[Citation analysis]		paper0
2009Returns and Volume: Between Information andLiquidity In: Post-Print.
[Citation analysis]		paper0
1998Effet des Modes de Négociation sur les Echanges In: Post-Print.
[Citation analysis]		paper6
1998Effet des modes de négociation sur les échanges.(1998) In: Revue Économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2004Nouvelles techniques de gestion et leur impact sur la volatilité In: Post-Print.
[Citation analysis]		paper1
2004Nouvelles 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
1998Time Deformation: Definition and Comparisons In: Post-Print.
[Citation analysis]		paper10
2009How Liquid are Markets? In: Post-Print.
[Citation analysis]		paper0
2010Euro money market interest rates dynamics and volatility In: Post-Print.
[Citation analysis]		paper0
2012MLiq a meta liquidity measure In: Post-Print.
[Citation analysis]		paper0
2013MLiq a meta liquidity measure.(2013) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
2012Liquidity contagion: A look at emerging markets In: Post-Print.
[Citation analysis]		paper1
1997Volatilités et mesures de risque In: Post-Print.
[Full Text][Citation analysis]		paper0
2019Bivariate integer-autoregressive process with an application to mutual fund flows In: Post-Print.
[Full Text][Citation analysis]		paper4
2021A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk In: Working Papers.
[Citation analysis]		paper0
2021Forecasting Intra-daily Liquidity in Large Panels In: Working Papers.
[Citation analysis]		paper0
2010Liquidity Problems in the FX Liquid Market In: Working Papers.
[Full Text][Citation analysis]		paper2

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