Dr Alfonso Dufour
Lecturer in Finance
T: +44 (0)118 378 6430
Specialisms: Financial Econometrics, Market Microstructure, Regulation
Biography
Alfonso holds a Laurea in Economia e Commercio (cum laude) from the University of Venice, Italy and an MA and a PhD in Economics, both from the University of California, San Diego.
His research interest spans issues in financial econometrics, market design and structure, empirical market microstructure. He has written articles about forecasting models for transaction prices; measures of market liquidity; and methods for comparing and contrasting alternative market structures. Currently, he is studying the effects of market fragmentation on the quality of European markets.
His paper “Time and the price impact of a Trade” (with Robert F. Engle) was short-listed for the Smith-Breedon best paper prize in the Journal of Finance for 2001.
He is Course Convenor of the Derivative Securities – Pricing and Trading module on the BSc programme and of the Trading and Exchanges module on the MSc programme.
Publications
Chaos Theory and Prediction with Applications to Economics,
Wageningen conference on ''Predictability and nonlinear modeling in natural sciences and economics'' (ISNULL)
(with A. Medio and M. Lines)
Time and the Price Impact of a Trade
Journal of Finance (2000, December) pp 55(6): 2467-2498
(with R. F. Engle)
The ACD Model: Predictability of the Time Between Consecutive Trades
(2000)
(with R. F. Engle)
A Study on Daily Liquidity
unpublished manuscript (1999)
(with R. F. Engle)
Local Methods for Predicting and Understanding from Univariate Time Series
University of Udine, Italy (1993)
(with M. Lines)
