Curriculum vitae

Le Fol Gaëlle

Full Professor
DRM

gaelle.le_folping@dauphine.pslpong.eu
Phone : 01 44 05 46 03
Office : P604

Biography

Gaëlle Le Fol is Professor of Finance at Université Paris – Dauphine and Research Fellow at the CREST (Center for Research in Economics and Statictics). She is the Scientific director of the QMI. She is an economics and econometrics graduate from Paris 1 University Panthéon – Sorbonne and holds a Ph. D. in Economics from the same University. Professor Le Fol’s research focuses on liquidity in Financial markets, the modelling of stock prices and fund flows as well as the modelling and forecasting of volume.

Her recent research has included investors behaviors and their impact on the trading characteristics, market liquidity, contagion, systemic risk, risk premia, HFT strategies a,d the impact of ESG on stock return. Her work has appeared in various international academic journals.

She teaches Financial Econometrics and Electronic Markets.

 

Latest publications

Articles

Darolles S., Le Fol G., Mero G. (2022), Timing the Size Risk Premia, Finance, vol. 43, n°2, p. 111-158

Le Fol G., Tlemsani A. (2019), Le retour de la volatilité: asphyxie ou nouveau souffle ?, RB. Revue banque, n°juin 2019, p. 38-41

Darolles S., Le Fol G., Lu Y., Sun R. (2019), Bivariate integer-autoregressive process with an application to mutual fund flows, Journal of Multivariate Analysis, vol. 173, n°September 2019, p. 181-203

Bizri M., Bozec M., Le Fol G., Leconte N. (2018), Les actifs illiquides : une oasis dans le désert du rendement ?, RB. Revue banque, vol. Juillet 2018, n°No. spécial House of Finance Day, p. 25-28

Darolles S., Le Fol G., Mero G. (2017), Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics

Bouin M., Bozec M., El Asmar J., Le Fol G. (2017), Big Data : Quelle révolution pour les marchés financiers et la gestion de portefeuille, RB. Revue banque, vol. Juin 2017, n°Numéro spécial, p. 18-20

Darolles S., Francq C., Le Fol G., Zakoïan J-M. (2016), Intrinsic Liquidity in Conditional Volatility Models, Annals of Economics and Statistics, vol. 123/124, p. 225-245

Darolles S., Dudek J., Le Fol G. (2016), Gauging Liquidity Risk in Emerging Market Bond Index Funds, Annals of Economics and Statistics, vol. 123/124, p. 247-269

Le Fol G., Méhouas B. (2016), Liquidité et risque de liquidité, RB. Revue banque, vol. Juillet 2016, n°HOF2016, p. 42-46

Darolles S., Le Fol G., Mero G. (2015), Measuring the Liquidity Part of Volume, Journal of Banking and Finance, vol. 50, p. 92–105

Le Fol G., Darolles S. (2014), Trading volume and Arbitrage, GSTF Journal on Business Review, vol. 3, n°3, p. 30-39

Bialkowski J., Darolles S., Le Fol G. (2012), Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume, Journal of Applied Science in Southern Africa (JASSA), n°1, p. 12-18

Le Fol G. (2011), A propos du trading haute fréquence, Analyse financière, n°41, p. 57-59

Jardet C., Le Fol G. (2010), Euro money market interest rate dynamics and volatility: how they respond to recent changes in the operational framework, International Journal of Finance and Economics, vol. 15, n°4, p. 316-330

Le Fol G., Idier J., Jardet C. (2009), How liquid are markets: an Application to Stock Markets, Bankers, markets, investors, n°103, p. 50-58

Le Fol G., Darolles S., Bialkowski J. (2008), Improving VWAP strategies: A dynamic volume approach, Journal of Banking and Finance, vol. 32, n°9, p. 1709-1722

Idier J., Jardet C., Le Fol G., Monfort A., Pegoraro F. (2008), Taking into account extreme events in European option pricing, Financial Stability Review, n°12, p. 39-51

Darolles S., Le Fol G. (2004), Nouvelles techniques de gestion et leur impact sur la volatilité, Revue d'économie financière, vol. 74, p. 231-243

Darolles S., Gouriéroux C., Le Fol G. (2000), Intraday Transaction Price Dynamics, Annales d'Economie et de Statistique, n°60, p. 207-238

Le Fol G., Gouriéroux C., Jasiak J. (1999), Intra-day market activity, Journal of Financial Markets, vol. 2, n°3, p. 193-226

Le Fol G., Mercier L. (1998), Time Deformation: Definition and Comparisons, Journal of Computational Intelligence in Finance, vol. 6, n°5, p. 19-33

Le Fol G., Gouriéroux C. (1998), Effet des modes de négociation sur les échanges, Revue économique, vol. 49, n°3, p. 795-808

Gouriéroux C., Le Fol G. (1997), Volatilités et mesures du risque, Journal de la société de statistique de Paris, vol. 138, n°4, p. 7-32.

Ouvrages

Le Fol G., Gouriéroux C. (1997), Modes de négociation et caractéristiques de marché, Paris: CEPREMAP, 38 p.

Chapitres d'ouvrage

Darolles S., Dudek J., Le Fol G. (2014), Contagion in Emerging Markets, in Finch, Nigel, Emerging Markets and Sovereign Risk, New York: Springer, p. XVI-298

Communications avec actes

Darolles S., Le Fol G. (2014), Trading Volume and Arbitrage, in , Annual International Conference on Accounting & Finance. 2014, Phuket, Global Science & Technology Forum, 121-131 p.

Communications sans actes

Darolles S., He Y., Le Fol G. (2023), Who can better push firms to go "green"? A look at ESG effects on stock returns, 39th International Conference of the French Finance Association (AFFI), Bordeaux, France

Darolles S., Le Fol G., Lu Y., Sun R. (2019), A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk, AFFI, Québec, Canada

Le Fol G. (2018), Illiquid asset and portfolio management, 12th International Conference on Computational Financial Econometrics (CFE), Pise, Italie

Darolles S., Le Fol G., Lu Y., Sun R. (2018), A Self-Exciting Model for Mutual Fund Flows: Investor Behaviour and Liability Risk, AFFI, Paris, France

Darolles S., Dudek J., Le Fol G. (2014), Liquidity risk and contagion for liquid funds, 31st International French Finance Association Conference, AFFI 2014, Aix-en-Provence, France

Darolles S., Dudek J., Le Fol G. (2013), Liquidity Contagion. The Emerging Sovereign Debt Markets example, 30th International French Finance Association Conference, Lyon, France

Darolles S., Dudek J., Le Fol G. (2012), Liquidity Contagion. The Emerging Sovereign Debt Markets example, European Economic Association & Econometric Society, Malaga, Espagne

Darolles S., Dudek J., Le Fol G. (2012), MLiq a meta liquidity measure, Computational and Financial Econometrics (CFE'12), Oviedo, Espagne

Le Fol G., Mero G., Darolles S. (2011), Tracking Illiquidities in Intradaily and Daily Characteristics, 28th annual International Conference of the French Finance Association, Montpellier, France

Présentation(s) dans un séminaire de recherche

Le Fol G. (2019), Forecasting Intra-daily Liquidity in Large Panels, in Séminaire de Finance, AMSE, Aix-Marseille Université, Marseille

Le Fol G. (2019), Forecasting Intra-daily Liquidity in Large Panels, in AMF, Paris

Prépublications / Cahiers de recherche

Le Fol G., Brownlees C., Darolles S., Sagna B. (2019), Forecasting Intra-daily Liquidity in Large Panels, Paris, Université Paris-Dauphine

Le Fol G., Darolles S., Sun R., Lu Y. (2018), A self-exciting model of mutual fund flows: Investor Behaviour and Liability Risk, Paris, Université Paris-Dauphine

Borgy V., Idier J., Le Fol G. (2010), Liquidity Problems in the FX Liquid Market, Paris, Documents de Travail de la Banque de France, 40 p.

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