7
H index
6
i10 index
198
Citations
Gaelle Le Fol : Citation Profile
Université Paris-Dauphine (Paris IX) | RESEARCH PRODUCTION: 9 Articles 58 Papers 1 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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27 years (1997 - 2024). 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 | 44 |
| Working Papers / Center for Research in Economics and Statistics | 6 |
| Working Papers / HAL | 3 |
Recent works citing Gaelle Le Fol (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2025 | Deep Learning for VWAP Execution in Crypto Markets: Beyond the Volume Curve. (2025). Genet, Remi. In: Papers. RePEc:arx:papers:2502.13722. Full description at Econpapers || Download paper |
| 2025 | Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929. Full description at Econpapers || Download paper |
| 2025 | Forecasting Intraday Volume in Equity Markets with Machine Learning. (2025). Cucuringu, Mihai ; Zhang, Chao ; Li, Kang. In: Papers. RePEc:arx:papers:2505.08180. Full description at Econpapers || Download paper |
| 2025 | LEMs: A Primer On Large Execution Models. (2025). Inzirillo, Hugo ; Genet, Remi. In: Papers. RePEc:arx:papers:2509.25211. Full description at Econpapers || Download paper |
| 2024 | Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116. Full description at Econpapers || Download paper |
| 2024 | Internet stock message boards and the price–volume relationship: Registered users vs non-registered users. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000941. Full description at Econpapers || Download paper |
| 2024 | Not all the news fitting to reprint: Evidence from price-volume relationship. (2024). Shen, Dehua ; Zhang, Zuochao. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001582. Full description at Econpapers || Download paper |
| 2025 | Revisiting the ∪-shaped patterns in volatility and price impacts: Novel results using trade-time estimates. (2025). Bernhardt, Dan ; Barardehi, Yashar H. In: Journal of Financial Markets. RePEc:eee:finmar:v:74:y:2025:i:c:s1386418125000114. Full description at Econpapers || Download paper |
| 2024 | Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251. Full description at Econpapers || Download paper |
| 2024 | Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800. Full description at Econpapers || Download paper |
| 2025 | The Relationship between Market Depth and Liquidity Fragility in the Treasury Market. (2025). Meldrum, Andrew ; Sokolinskiy, Oleg. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-14. Full description at Econpapers || Download paper |
| 2025 | Portfolio optimization in deformed time. (2025). Fall, Malick. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:2:d:10.1057_s41260-024-00378-9. Full description at Econpapers || Download paper |
| 2025 | Mixed causal-noncausal count process. (2025). Lu, Yang ; Pei, Jian ; Zhu, Fukang. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:34:y:2025:i:2:d:10.1007_s11749-024-00960-8. 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 nother 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 nother 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 nother 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 nother 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 nother version. Agregated cites: 1 | paper | |
| 2022 | Timing the Size Risk Premia In: Finance. [Full Text][Citation analysis] | article | 0 |
| 2022 | Timing the Size Risk Premia.(2022) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Timing the size risk premium.(2019) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | 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 nother version. Agregated cites: 5 | paper | |
| 2014 | Trading Volume and Arbitrage.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2014 | Trading volume and Arbitrage.(2014) In: Post-Print. [Citation analysis] This paper has nother 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 | 23 |
| 2017 | Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows.(2017) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2014 | Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows.(2014) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 2016 | Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows.(2016) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
| 1999 | Intra-day market activity In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 57 |
| 1999 | Intra-day market activity.(1999) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
| 2008 | Improving VWAP strategies: A dynamic volume approach In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 42 |
| 2006 | Improving VWAP strategies: A dynamical volume approach.(2006) In: Documents de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
| 2008 | Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 42 | paper | |
| 2008 | Improving VWAP strategies: A dynamic volume approach.(2008) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 42 | 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 | 15 |
| 2015 | Measuring the Liquidity Part of Volume.(2015) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 15 | 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 nother 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 nother 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 | 2 |
| 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 |
| 2023 | Who can better push firms to go green? A look at ESG effects on stock returns In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Forecasting intra-daily volume in large panels of assets In: Post-Print. [Citation analysis] | paper | 0 |
| 2024 | Forecasting Intra-daily Volume in Large Panels of Assets.(2024) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2019 | Bivariate integer-autoregressive process with an application to mutual fund flows In: Post-Print. [Citation analysis] | paper | 7 |
| 2018 | Bivariate integer-autoregressive process with an application to mutual fund flows.(2018) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2019 | Bivariate integer-autoregressive process with an application to mutual fund flows.(2019) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
| 2024 | Understanding the effect of ESG scores on stock returns using mediation theory In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Understanding the effect of ESG scores on stock returns using mediation theory.(2024) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 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 | 7 |
| 1998 | Effet des modes de négociation sur les échanges.(1998) In: Revue Économique. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | 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 nother version. Agregated cites: 1 | article | |
| 1998 | Time Deformation: Definition and Comparisons In: Post-Print. [Citation analysis] | paper | 11 |
| 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 nother 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 |
| 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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