Le Fol Gaëlle. Current Position - Status. Former positions. Education and qualification. Full professor. gaelle.le_fol@dauphine.fr

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1 Le Fol Gaëlle Full professor Current Position - Status Head of an education program : Master Financial Markets Department of attachment : MSO Centre of Research : Dauphine Recherches en Management (DRM) Your first responsibility : 4 (DRM) Former positions Professor at the University of Evry - Val d'essonne ( ). Professor at the University of Angers ( ). Assistant Professor at the University of Paris 1 Panthéon-Sorbonne ( ). Education and qualification Aggregation Economics (2002) Ph.D. Sciences économiques ( Paris 1 Panthéon - Sorbonne) Master (Search) specialty : Economie Mathématique et Eonométrie ( Paris 1 Panthéon - Sorbonne) Curriculum vitae : Le Fol Gaëlle Page 1/6

2 Fields of teaching, research and professionnal competence Fields of teaching Financial Markets Financial Econometrics Electronic Markets Fields of research Financial Markets Financial Econometrics Areas of Expertise Liquidity of Financial Markets Electronic Markets Financial Econometrics Fields professionnal competence Number of theses guided and sustained : 4 Number of theses in process : 2 Curriculum vitae : Le Fol Gaëlle Page 2/6

3 Publications of Gaëlle Le Fol 2015 Darolles, Serge ; Le Fol, Gaëlle ; Mero, Gulten. Measuring the Liquidity Part of Volume. Journal of Banking and Finance. Volume pages Elsevier. DOI Darolles, Serge ; Le Fol, Gaëlle. Trading volume and Arbitrage. GSTF : Journal on Business Review. Volume 3. n pages GSTF. DOI Book chapters Darolles, Serge ; Dudek, Jérémy ; Le Fol, Gaëlle. Contagion in Emerging Markets. Finch, Nigel. Emerging Markets and Sovereign Risk. New York pages Darolles, Serge ; Dudek, Jérémy ; Le Fol, Gaëlle. Liquidity risk and contagion for liquid funds. 31st International French Finance Association Conference, AFFI Aix-en-Provence. France Darolles, Serge ; Le Fol, Gaëlle. Trading Volume and Arbitrage. 4th Annual International Conference on Accounting & Finance (AF 2014). Phuket. Thaïlande Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge. Liquidity Contagion. The Emerging Sovereign Debt Markets example. 30th International French Finance Association Conference. Lyon. France Curriculum vitae : Le Fol Gaëlle Page 3/6

4 Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume. JASSA. n pages FINSIA. Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle. How to reduce the risk of VWAP orders execution?. JASSA. n FINSIA. Darolles, Serge ; Dudek, Jérémy ; Le Fol, Gaëlle. MLiq a meta liquidity measure. Computational and Financial Econometrics (CFE'12). Oviedo. Espagne Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge. Liquidity Contagion. The Emerging Sovereign Debt Markets example. European Economic Association & Econometric Society. Malaga. Espagne Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge. Liquidity Contagion : A Look at Emerging Markets. Axe thématique du GdRE «Monnaie, Banque, Finance» et Cluster «Risques Financiers» : «Investissements alternatifs : des crises à la mesure de performance». Orléans. France Le Fol, Gaëlle. A propos du trading haute fréquence. Analyse financière. n pages SFAF. Darolles, Serge ; Le Fol, Gaëlle ; Mero, Gulten. Tracking Illiquidities in Intradaily and Daily Characteristics. 28th annual International Conference of the French Finance Association. Montpellier. France Le Fol, Gaëlle ; Darolles, Serge ; Mero, Gulten. When Market Illiquidity Generates Volume. First Meeting of the ANR Econom&Risk (Econometric Approaches for Risk Modeling). Orléans. France Jardet, Caroline ; Le Fol, Gaëlle. Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework. International Journal of Finance and Economics. Volume 15. n pages Wiley. DOI Working Papers Le Fol, Gaëlle ; Idier, Julien ; Borgy, Vladimir. Liquidity Problems in the FX Liquid Market. Banque de France Curriculum vitae : Le Fol Gaëlle Page 4/6

5 Le Fol, Gaëlle ; Jardet, Caroline ; Idier, Julien. How liquid are markets: an Application to Stock Markets. Bankers, Markets & Investors. n pages Revue Banque Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle. Improving VWAP strategies: A dynamic volume approach. Journal of Banking and Finance. Volume 32. n pages Elsevier. DOI Idier, Julien ; Jardet, Caroline ; Le Fol, Gaëlle ; Monfort, Alain ; Pegoraro, Fulvio. Taking into account extreme events in European option pricing. Financial Stability Review. n pages Banque de France Darolles, Serge ; Le Fol, Gaëlle. Nouvelles techniques de gestion et leur impact sur la volatilité. Revue d'économie financière Volume pages Association d'économie financière. DOI Darolles, Serge ; Gouriéroux, Christian ; Le Fol, Gaëlle. Intraday Transaction Price Dynamics. Annales d'economie et de Statistique. n pages INSEE Gouriéroux, Christian ; Jasiak, Joanna ; Le Fol, Gaëlle. Intra-day market activity. Journal of Financial Markets. Volume 2. n pages Elsevier. DOI Le Fol, Gaëlle ; Mercier, Ludovic. Time Deformation: Definition and Comparisons. Journal of Computational Intelligence in Finance. Volume 6. n pages Curriculum vitae : Le Fol Gaëlle Page 5/6

6 Gouriéroux, Christian ; Le Fol, Gaëlle. Effet des modes de négociation sur les échanges. Revue économique. Volume 49. n pages Presses de Sciences Po. DOI Gouriéroux, Christian ; Le Fol, Gaëlle. Volatilités et mesures du risque. Journal de la société statistique de Paris. Volume 138. n pages Société de statistique de Paris. Books Gouriéroux, Christian ; Le Fol, Gaëlle. Modes de négociation et caractéristiques de marché. Paris?. CEPREMAP pages 38 p.. ISBN. Curriculum vitae : Le Fol Gaëlle Page 6/6