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.
Fundamentals of Financial Markets
The module provides an economic framework for the understanding of global financial markets, organised exchanges, market players and the importance of liquidity and price efficiency. Participants will gain an understanding...
Liquidity Risk and Algorithmic Trading
The evolution of algorithmic trading, the proliferation of alternative trading platforms for trading the same security and the development of new products and assets with limited liquidity have contributed to...
The module provides the economic framework for understanding the global financial system and financial markets, financial institutions, market players and the importance of liquidity and price efficiency. Participants will gain...
Most recent news & media
Coro, F., Dufour, A. and Varotto, S. (2013) Credit and liquidity components of corporate CDS spreads. Journal of Banking & Finance. ISSN 0378-4266 doi: 10.1016/j.jbankfin.2013.07.010 (In Press)
Chaos Theory and Prediction with Applications to Economics, Wageningen conference on ''Predictability and nonlinear modelling 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A Study on Daily Liquidity unpublished manuscript (1999) (with R. F. Engle) Local Methods for Predicting and Understanding from Univariate Time Series University of Udine, Italy (1993) with M. Lines
Darbha, M. and Dufour, A. (2013) Microstructure of the Euro-area government bond market. In: Baker, H. K. and Kiymaz, H. (eds.) Market microstructure in emerging and developed markets. Robert W. Kolb series in finance. John Wiley , Hoboken. ISBN 9781118278444 (In Press)
Davies, R., Dufour, A. and Scott-Quinn, B. (2006) The MiFID: competition in a new European equity market regulatory structure. In: Ferrarini, G. and Wymeersch, E. (eds.) Investor Protection in Europe: Corporate Law Making, The MiFID and Beyond. Oxford University Press. ISBN 9780199202911
Board, J., Dufour, A., Sutcliffe, C. and Wells, S. (2006) A false perception? The relative riskiness of AIM and listed stocks.Discussion Papers. 2006-0. Discussion Paper. University of Reading, Reading. pp40.
Davies, R., Dufour, A. and Scott-Quinn, B. (2003) Building a competitive and efficient European financial market. Report. European Capital Markets Institute, Brussels. pp103.
- Financial Econometrics
- Market Microstructure