Gaëlle Le Fol

Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

Place du Maréchal de Lattre de Tassigny

Paris Cedex 16, 75775

France

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

15 Boulevard Gabriel Peri

Malakoff Cedex, 1 92245

France

  • Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

  • National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

SCHOLARLY PAPERS

13

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Scholarly Papers (13)

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1.

Improving VWAP. Strategies: A Dynamical Volume Approach

Journal of Banking and Finance, Vol. 32, 2008
Number of pages: 61 Posted: 28 Sep 2006 Last Revised: 23 Feb 2018
Jedrzej Pawel Bialkowski, Serge Darolles and Gaëlle Le Fol
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads 1,916 (13,176)
Citation 1

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Intraday volume; Factor models; Volume Weighted Average Price; VWAP strategies

2.

Financial Market Liquidity: Who is Acting Strategically?

Number of pages: 43 Posted: 06 Oct 2015 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and University of Cergy-Pontoise - THEMA
Downloads 124 (340,115)

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Strategic liquidity trading, market efficiency, mixture of distribution hypothesis, information-based trading, extended Kalman Filter

3.

Liquidity Problems in the FX Liquid Market: Ask for the 'BIL'

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Liquidity Problems in the FX Liquid Market: Ask for the 'BIL'

Banque de France Working Paper No. 279
Number of pages: 44 Posted: 03 Jun 2010
Vladimir Borgy, Julien Idier and Gaëlle Le Fol
Banque de France, Banque de France - Centre de Recherche and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads 83 (448,958)
Citation 6

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FX market, Liquidity, financial crisis

Liquidity Problems in the FX Liquid Market: Ask for the 'Bil'

Posted: 04 Apr 2010
Vladimir Borgy, Julien Idier and Gaëlle Le Fol
Banque de France, Banque de France - Centre de Recherche and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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FX market, Liquidity, Financial crisis

4.

Bivariate INAR Processes with Application to Mutual Fund Share Purchase/Redemption Counts

Number of pages: 47 Posted: 14 Aug 2018
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, Department of Maths & Statis, Concordia University and Université Paris-Dauphine, PSL Research University
Downloads 58 (538,010)

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rare event count process, nonlinear forecasting, memory persistence, liquidity risk

5.

Intrinsic Liquidity in Conditional Volatility Models

Annals of Economics and Statistics, Vol. 123/124, Dec. 2016, 225-246
Number of pages: 28 Posted: 20 Nov 2017
Serge Darolles, Christian Francq, Gaëlle Le Fol and Jean-Michel Zakoïan
Université Paris Dauphine - DRM-CEREG, University of Lille III, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and CREST
Downloads 46 (595,459)

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GARCH, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

6.

Euro Money Market Interest Rates Dynamics and Volatility: How They Respond to Recent Changes in the Operational Framework

Banque de France Working Paper No. 167
Number of pages: 42 Posted: 21 Oct 2010
Caroline Jardet and Gaëlle Le Fol
Banque de France and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France
Downloads 45 (600,751)
Citation 28

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European money market, Eonia, Operational framework, Liquidity effect

7.

Mixture of Distribution Hypothesis: Analyzing Daily Liquidity Frictions and Information Flows

Journal of Econometrics, Vol. 201, 2017, Université Paris-Dauphine Research Paper No. 3515235
Posted: 30 Jan 2020
Gaëlle Le Fol
Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

Abstract:

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Strategic liquidity trading Market efficiency, Mixture of distribution hypothesis, Information-based trading, Extended Kalman Filter

8.

A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Posted: 01 Jun 2018
Serge Darolles, Gaëlle Le Fol, Yang Lu and Theo Ran Sun
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France, Department of Maths & Statis, Concordia University and Université Paris-Dauphine, PSL Research University

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Financial Econometrics, Hedge Funds/Mutual Funds, Market Microstructure/Liquidity.

9.

Intraday Transaction Price Dynamics

Annales d'Economie et de Statistique, Vol. 60, 2000, 207-238
Posted: 21 Nov 2017
Serge Darolles, Christian Gourieroux and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

Abstract:

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High Frequency trading, Intraday transaction price dynamics, Markov Chain prices, random dates

10.

Reducing the Risk of VWAP Orders Execution

JASSA The Finsia Journal of Applied Finance, Issue 2012, 12-18
Posted: 21 Nov 2017
Jedrzej Pawel Bialkowski, Serge Darolles and Gaëlle Le Fol
University of Canterbury - Department of Economics and Finance, Université Paris Dauphine - DRM-CEREG and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

Abstract:

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intra-day trading volume, VWAP orders, execution risk, trading costs in securities markets

11.

Gauging Liquidity Risk in Emerging Market Bond Index Funds

Annals of Economics ans Statistics, Vol 123/124, Dec. 2016, 247-269
Posted: 20 Nov 2017
Serge Darolles, Jérémy Dudek and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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Emerging Markets, Sovereign Debt Market, Liquidity Risk Management, Dynamic Correlation, Regime Switching Models

12.

Liquidity Contagion: The Emerging Sovereign Debt Markets Example

Posted: 09 Feb 2013
Serge Darolles, Jérémy Dudek and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Finance and Insurance and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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Emerging Markets, Sovereign Debt Market, Liquidity Risk Management, Liquidity, Contagion Effects, Regime Switching models

13.

Measuring the Liquidity Part of Volume

Journal of Banking and Finance, Vol. 50, 2015
Posted: 08 Dec 2008 Last Revised: 06 Jul 2016
Serge Darolles, Gaëlle Le Fol and Gulten Mero
Université Paris Dauphine - DRM-CEREG, Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France and University of Cergy-Pontoise - THEMA

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Volatility-volume relationship, mixture of distribution hypothesis, liquidity shocks, information-based trading, liquidity arbitrage, GMM tests