DRM
Le Fol Gaëlle
Full Professor
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 dean of QTEM for Dauphine and 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.
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
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., Le Fol G., Mero G. (2017), Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows, Journal of Econometrics
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
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
Bialkowski J., Darolles S., Le Fol G. (2008), Improving VWAP strategies: A dynamic volume approach, Journal of Banking and Finance, vol. 32, n°9, p. 1709-1722
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
Le Fol G. (2024), Understanding the effect of ESG scores on stock returns using mediation theory, 6th QFFE (Quantitative Finance and Financial Econometrics) International Conference, Marseille, France
Darolles S., He Y., Le Fol G. (2024), Understanding the effect of ESG scores on stock returns using mediation theory, 17th Financial Risks International Forum (Risks Forum), Paris, France
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
Brownlees C., Darolles S., Le Fol G., Sagna B. (2022), Forecasting intra-daily volume in large panels of assets, CIREQ Econometrics Conference in Honor of Eric Renault, Montreal, Canada
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
Darolles S., Le Fol G., Mero G. (2019), Timing the size risk premium, 5th Inter-Business Schools Finance Seminar Business School Conference, Reims, France
Darolles S., Le Fol G., Lu Y., Sun R. (2019), Bivariate integer-autoregressive process with an application to mutual fund flows, Quantitative Finance and Financial Econometrics (QFFE 2019), Marseille, France
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
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), Bivariate integer-autoregressive process with an application to mutual fund flows, Financial Time Series Workshop, CREST-ENSAE, Palaiseau, France
Darolles S., Le Fol G., Mero G. (2016), Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, 9th Annual SoFiE Conference (Society for Financial Econometrics) 2016, Hong Kong, Hong kong
Darolles S., Le Fol G., Mero G. (2014), Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows, 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italie
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
Brownlees C., Darolles S., Le Fol G., Sagna B. (2019), Forecasting Intra-daily Liquidity in Large Panels, Paris, Université Paris-Dauphine
Darolles S., Le Fol G., Lu Y., Sun R. (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.