Le Fol Gaëlle Full professor gaelle.le_fol@dauphine.fr Current Position - Status Head of an education program : Master 203 - 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 (2006-2010). Professor at the University of Angers (2002-2006). Assistant Professor at the University of Paris 1 Panthéon-Sorbonne (1999-2002). Education and qualification Aggregation Economics (2002) Ph.D. Sciences économiques (1998 - Paris 1 Panthéon - Sorbonne) Master (Search) specialty : Economie Mathématique et Eonométrie (1994 - Paris 1 Panthéon - Sorbonne) Curriculum vitae : Le Fol Gaëlle Page 1/6
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
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 50. 2015. pages 92 105. Elsevier. DOI http://dx.doi.org/10.1016/j.jbankfin.2014.09.007. 2014 Darolles, Serge ; Le Fol, Gaëlle. Trading volume and Arbitrage. GSTF : Journal on Business Review. Volume 3. n 3. 2014. pages 30-39. GSTF. DOI http://dx.doi.org/10.5176/2010-4804_3.3.321. Book chapters Darolles, Serge ; Dudek, Jérémy ; Le Fol, Gaëlle. Contagion in Emerging Markets. Finch, Nigel. Emerging Markets and Sovereign Risk. New York. 2014. pages 45-58. Darolles, Serge ; Dudek, Jérémy ; Le Fol, Gaëlle. Liquidity risk and contagion for liquid funds. 31st International French Finance Association Conference, AFFI 2014. Aix-en-Provence. France. 2014. Darolles, Serge ; Le Fol, Gaëlle. Trading Volume and Arbitrage. 4th Annual International Conference on Accounting & Finance (AF 2014). Phuket. Thaïlande. 2014. 2013 Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge. Liquidity Contagion. The Emerging Sovereign Debt Markets example. 30th International French Finance Association Conference. Lyon. France. 2013. 2012 Curriculum vitae : Le Fol Gaëlle Page 3/6
Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume. JASSA. n 1. 2012. pages 12-18. FINSIA. Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle. How to reduce the risk of VWAP orders execution?. JASSA. n 1. 2012. FINSIA. Darolles, Serge ; Dudek, Jérémy ; Le Fol, Gaëlle. MLiq a meta liquidity measure. Computational and Financial Econometrics (CFE'12). Oviedo. Espagne. 2012. Le Fol, Gaëlle ; Dudek, Jérémy ; Darolles, Serge. Liquidity Contagion. The Emerging Sovereign Debt Markets example. European Economic Association & Econometric Society. Malaga. Espagne. 2012. 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. 2012. 2011 Le Fol, Gaëlle. A propos du trading haute fréquence. Analyse financière. n 41. 2011. pages 57-59. 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. 2011. 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. 2011. 2010 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 4. 2010. pages 316-330. Wiley. DOI http://dx.doi.org/10.1002/ijfe.403. Working Papers Le Fol, Gaëlle ; Idier, Julien ; Borgy, Vladimir. Liquidity Problems in the FX Liquid Market. Banque de France. 2010. 2009 Curriculum vitae : Le Fol Gaëlle Page 4/6
Le Fol, Gaëlle ; Jardet, Caroline ; Idier, Julien. How liquid are markets: an Application to Stock Markets. Bankers, Markets & Investors. n 103. 2009. pages 50-58. Revue Banque. 2008 Bialkowski, Jedrzej ; Darolles, Serge ; Le Fol, Gaëlle. Improving VWAP strategies: A dynamic volume approach. Journal of Banking and Finance. Volume 32. n 9. 2008. pages 1709-1722. Elsevier. DOI http://dx.doi.org/10.1016/j.jbankfin.2007.09.023 Idier, Julien ; Jardet, Caroline ; Le Fol, Gaëlle ; Monfort, Alain ; Pegoraro, Fulvio. Taking into account extreme events in European option pricing. Financial Stability Review. n 12. 2008. pages 39-51. Banque de France. 2004 Darolles, Serge ; Le Fol, Gaëlle. Nouvelles techniques de gestion et leur impact sur la volatilité. Revue d'économie financière Volume 74. 2004. pages 231-243. Association d'économie financière. DOI http://dx.doi.org/10.3406/ecofi.2004.5042. 2000 Darolles, Serge ; Gouriéroux, Christian ; Le Fol, Gaëlle. Intraday Transaction Price Dynamics. Annales d'economie et de Statistique. n 60. 2000. pages 207-238. INSEE. 1999 Gouriéroux, Christian ; Jasiak, Joanna ; Le Fol, Gaëlle. Intra-day market activity. Journal of Financial Markets. Volume 2. n 3. 1999. pages 193-226. Elsevier. DOI http://dx.doi.org/10.1016/s1386-4181(99)00004-x. 1998 Le Fol, Gaëlle ; Mercier, Ludovic. Time Deformation: Definition and Comparisons. Journal of Computational Intelligence in Finance. Volume 6. n 5. 1998. pages 19-33. Curriculum vitae : Le Fol Gaëlle Page 5/6
Gouriéroux, Christian ; Le Fol, Gaëlle. Effet des modes de négociation sur les échanges. Revue économique. Volume 49. n 3. 1998. pages 795-808. Presses de Sciences Po. DOI http://dx.doi.org/10.2307/3502810. 1997 Gouriéroux, Christian ; Le Fol, Gaëlle. Volatilités et mesures du risque. Journal de la société statistique de Paris. Volume 138. n 4. 1997. pages 7-32.. Société de statistique de Paris. Books Gouriéroux, Christian ; Le Fol, Gaëlle. Modes de négociation et caractéristiques de marché. Paris?. CEPREMAP. 1997. pages 38 p.. ISBN. Curriculum vitae : Le Fol Gaëlle Page 6/6