Dr Alfonso Dufour
Associate Professor of Finance
Programme Co-Director of MSc Finance and Financial Technology (FinTech)

Specialisms
- Financial Econometrics,
- Market Microstructure,
- Regulation
Location
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.
Henley faculty authors:
Dr Alfonso DufourHenley faculty authors:
Dr Alfonso Dufour - Dr Miriam Marra - Dr Ivan Sangiorgi Professor Frank S. SkinnerHenley faculty authors:
Dr Alfonso DufourHenley faculty authors:
Dr Alfonso Dufour Hanyu ZhangHenley faculty authors:
Dr Alfonso Dufour - Professor Charles Sutcliffe Yusuf Hartavi- Stephen WellsHenley faculty authors:
Dr Alfonso Dufour Marcelo PerlinHenley faculty authors:
Dr Alfonso Dufour Marcelo PerlinHenley faculty authors:
Dr Alfonso Dufour Madhucchand DarbhaHenley faculty authors:
Dr Alfonso Dufour Minh NguyenHenley faculty authors:
Dr Alfonso Dufour Robert F. EngleUnderstanding Management and Financial Research (Not for credit)
This module examines the steps involved in carrying out a PhD at the ICMA centre....
Algorithmic and High Frequency Trading
Industry participants estimate that 70-80% of equity trades are executed through computers. Market-makers in fixed income and currency markets use algorithms to automatically adjust their quotes. This module reviews the...
Financial Markets and Institutions (new for 2022/23)
This module provides an introduction to international financial markets and an overview of financial institutions. The main characteristics and risks of a range of financial markets are presented: equity, fixed...
Algorithmic and High Frequency Trading
This module aims to provide students with an understanding of financial decision making in the context of alternative investments....
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...
Financial Markets
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...
Past Events
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)
Dufour, A. and Nguyen, M. (2012) Permanent trading impacts and bond yields. European Journal of Finance, 18 (9). pp. 841-864. ISSN 1466-4364 doi: 10.1080/1351847X.2011.601639
Dufour, A. and Engle, R. F. (2000) Time and the price impact of a trade. Journal of Finance, 55 (6). 2467-2498 . ISSN 0022-1082 doi: 10.1111/0022-1082.00297
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.
Specialisms
- Financial Econometrics
- Market Microstructure
- Regulation
Location
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