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Laurent Deville

Personal Details

First Name:Laurent
Middle Name:
Last Name:Deville
Suffix:
RePEc Short-ID:pde372
EDHEC BUSINESS SCHOOL 393 Promenade des Anglais BP 3116 F- 06202 NICE Cedex 3
+33(0) 493187820

Affiliation

EDHEC-Risk
Groupe EDHEC (École de Hautes Études Commerciales du Nord)

Lille/Paris, France
http://www.edhec-risk.com/

:


RePEc:edi:riedhfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Laurent Deville & Carole Gresse & Béatrice De Séverac, 2014. "Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index," Post-Print halshs-00641118, HAL.
  2. Laurent Deville & Mohamed Oubenal, 2014. "Une confrontation des modes de description du marché en finance et en sociologie : le cas des Exchange Traded Funds (ETF)," Post-Print halshs-01070329, HAL.
  3. Anna Calamia & Laurent Deville & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," GREDEG Working Papers 2013-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
  4. Laurent Deville & Mohamed Oubenal, 2012. "Legitimizing an ambiguous financial innovation: The case of Exchange-Traded Funds in France," Post-Print halshs-00727733, HAL.
  5. Laurent Deville & Carole Gressse & Béatrice De Séverac, 2012. "Direct and Indirect Effects of Index ETFs on Spot-Futures Mispricing and Illiquidity," Post-Print halshs-00727687, HAL.
  6. Laurent Deville & Mohamed Oubenal, 2009. "Le marché des trackers : aspects techniques, dimension sociale," Post-Print halshs-00727753, HAL.
  7. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.
  8. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221, HAL.
  9. Laurent Deville, 2007. "Le point sur les ETFs," Post-Print halshs-00150643, HAL.
  10. Fabrice Riva & Laurent Deville, 2006. "The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach," Post-Print halshs-00163240, HAL.
  11. Laurent Deville & Marion Soulerot & Samuel Sponem, 2005. "Les Réactions Du Marché À L'Annonce De Programmes De Reduction Des Couts : Une Étude Exploratoire Sur Les Entreprises Du Cac 40," Post-Print halshs-00581183, HAL.
  12. Fabrice Riva & Laurent Deville, 2004. "A Survivorship Analysis of the French Index Options Market Deviations to Put Call Parity," Post-Print halshs-00163226, HAL.
  13. Laurent Deville, 2001. "Estimation des coûts de transaction sur un marché gouverné par les ordres : le cas des composantes du CAC 40," Working Papers of LaRGE Research Center 2001-02, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.

Articles

  1. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Laurent Deville & Carole Gresse & Béatrice De Séverac, 2014. "Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index," Post-Print halshs-00641118, HAL.

    Cited by:

    1. Diogo de Prince & Alexandre Monte, 2013. "What market (spot or future) reflects news first? An analysis in the frequency domain for Brazilian stock market," Economics Bulletin, AccessEcon, vol. 33(3), pages 1780-1787.

  2. Anna Calamia & Laurent Deville & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," GREDEG Working Papers 2013-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.

    Cited by:

    1. Lechman, Ewa & Marszk, Adam, 2015. "ICT technologies and financial innovations: The case of exchange traded funds in Brazil, Japan, Mexico, South Korea and the United States," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 355-376.

  3. Laurent Deville & Mohamed Oubenal, 2012. "Legitimizing an ambiguous financial innovation: The case of Exchange-Traded Funds in France," Post-Print halshs-00727733, HAL.

    Cited by:

    1. François-Xavier Dudouet & Eric Grémont & Antoine Vion, 2014. ""Bank Centrality" and Money Creation
      [« Centralité bancaire » et émission monétaire]
      ," Working Papers halshs-01095256, HAL.

  4. Laurent Deville & Carole Gressse & Béatrice De Séverac, 2012. "Direct and Indirect Effects of Index ETFs on Spot-Futures Mispricing and Illiquidity," Post-Print halshs-00727687, HAL.

    Cited by:

    1. Jagjeev Dosanjh, 2017. "Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 34.

  5. Laurent Deville, 2008. "Exchange Traded Funds: History, Trading and Research," Post-Print halshs-00162223, HAL.

    Cited by:

    1. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
    2. Ewa Lechman & Adam Marszk, 2014. "Reshaping financial systems. New technologies and financial innovations - evidence from the United States, Mexico and Brazil," GUT FME Working Paper Series A 20, Faculty of Management and Economics, Gdansk University of Technology.
    3. Volodymyr Vysochansky, 2012. "On Introduction of Sound Money," Finance vysochansky_volodymyr.522, Socionet.
    4. Gregor Dorfleitner & Anna Gerl & Johannes Gerer, 2018. "The pricing efficiency of exchange-traded commodities," Review of Managerial Science, Springer, vol. 12(1), pages 255-284, January.
    5. Lechman, Ewa & Marszk, Adam, 2015. "ICT technologies and financial innovations: The case of exchange traded funds in Brazil, Japan, Mexico, South Korea and the United States," Technological Forecasting and Social Change, Elsevier, vol. 99(C), pages 355-376.
    6. Adam Marszk & Ewa Lechman & Harleen Kaur, 2017. "Financial Markets Diffusion Patterns. The Case Of Mexican Investment Funds," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 12(1), pages 83-100, March.
    7. Volodymyr Vysochansky, 2014. "Principles of Monetary System Transformation," Finance vysochansky_volodymyr.522, Socionet.
    8. Charteris, Ailie & Chau, Frankie & Gavriilidis, Konstantinos & Kallinterakis, Vasileios, 2014. "Premiums, discounts and feedback trading: Evidence from emerging markets' ETFs," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 80-89.
    9. Tseng, Tseng-Chan & Lee, Chien-Chiang & Chen, Mei-Ping, 2015. "Volatility forecast of country ETF: The sequential information arrival hypothesis," Economic Modelling, Elsevier, vol. 47(C), pages 228-234.
    10. Adam Marszk & Ewa Lechman, 2016. "Tracing Financial Innovations Diffusion And Substitution Trajectories. Recent Evidence On Exchange Traded Funds In Japan And South Korea," GUT FME Working Paper Series A 32, Faculty of Management and Economics, Gdansk University of Technology.
    11. Braun, Benjamin, 2016. "Gross, greed, and ETFs: The case for a microfounded political economy of the investment chain," economic sociology_the european electronic newsletter, Max Planck Institute for the Study of Societies, vol. 17(3), pages 6-13.

  6. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221, HAL.

    Cited by:

    1. Efstathios Panayi & Gareth Peters, 2014. "Survival Models for the Duration of Bid-Ask Spread Deviations," Papers 1406.5487, arXiv.org.
    2. François-Heude, Alain & Yousfi, Ouidad, 2013. "On the liquidity of CAC 40 index options Market," MPRA Paper 47921, University Library of Munich, Germany, revised 01 Jul 2013.
    3. Foucault , Thierry & Kozhan , Roman, 2014. "Toxic Arbitrage," Les Cahiers de Recherche 1040, HEC Paris.
    4. Anna Calamia & Laurent Deville & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," GREDEG Working Papers 2013-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
    5. Atanasova, Christina & Li, Mingxin, 2018. "Multi-market trading and liquidity: Evidence from cross-listed companies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 117-138.
    6. Alain François-Heude & Ouidad Yous, 2014. "On the liquidity of CAC 40 index options Market," Working Papers 2014-445, Department of Research, Ipag Business School.
    7. Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.

  7. Fabrice Riva & Laurent Deville, 2006. "The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach," Post-Print halshs-00163240, HAL.

    Cited by:

    1. François-Heude, Alain & Yousfi, Ouidad, 2013. "On the liquidity of CAC 40 index options Market," MPRA Paper 47921, University Library of Munich, Germany, revised 01 Jul 2013.
    2. Alain François-Heude & Ouidad Yous, 2014. "On the liquidity of CAC 40 index options Market," Working Papers 2014-445, Department of Research, Ipag Business School.

  8. Laurent Deville, 2001. "Estimation des coûts de transaction sur un marché gouverné par les ordres : le cas des composantes du CAC 40," Working Papers of LaRGE Research Center 2001-02, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.

    Cited by:

    1. Nteukam T., Oberlain & Planchet, Frédéric & Thérond, Pierre-E., 2011. "Optimal strategies for hedging portfolios of unit-linked life insurance contracts with minimum death guarantee," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 161-175, March.

Articles

  1. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (1) 2007-08-08
  2. NEP-EEC: European Economics (1) 2013-05-22
  3. NEP-MST: Market Microstructure (1) 2013-05-22

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