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Dr Alfonso Dufour

Associate Professor of Finance

Programme Co-Director of MSc Finance and Financial Technology (FinTech)

Alfonso Dufour

Specialisms

  • Financial Econometrics, 
  • Market Microstructure, 
  • Regulation

Location

ICMA Centre, Whiteknights Campus

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.

Reference: Billio, Monica, Dufour, Alfonso, Segato, Samuele and Varotto, Simone (2023) Complexity and the default risk of mortgage-backed securities. Journal of Banking & Finance. ISSN 0378-4266 (In Press)
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Zaznov, Ilia, Kunkel, Julian, Dufour, Alfonso and Badii, Atta (2022) Predicting stock price changes based on the limit order book: a survey. Mathematics, 10 (8). 1234. ISSN 2227-7390 doi: https://doi.org/10.3390/math10081234
Henley faculty authors:
Dr Alfonso Dufour
Reference: Dufour, Alfonso, Marra, Miriam, Sangiorgi, Ivan and Skinner, Frank S. (2020) Explaining repo specialness. International Journal of Finance & Economics, 25 (2). pp. 172-196. ISSN 1099-1158 doi: https://doi.org/10.1002/ijfe.1746
Henley faculty authors:
Dr Alfonso Dufour - Dr Miriam Marra - Dr Ivan Sangiorgi Professor Frank S. Skinner
Reference: Busetto, F., Dufour, Alfonso and Varotto, Simone (2020) COVID-19 and fiscal policy in the euro area. In: Billio, Monica and Varotto, Simone (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance (1). Edizioni Ca' Foscari, Venice, Italy, pp. 69-81. ISBN 9788869694424 doi: https://doi.org/10.30687/978-88-6969-442-4/005
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Cathcart, Lara, Dufour, Alfonso, Rossi, Ludovico and Varotto, Simone (2020) Differential impact of leverage on the default risk of small and large firms. Journal of Corporate Finance, 60. 101541. ISSN 0929-1199 doi: https://doi.org/10.1016/j.jcorpfin.2019.101541
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Dufour, Alfonso (2020) Stock performance when facing the unexpected. In: Billio, Monica and Varotto, Simone (eds.) A New World Post COVID-19 Lessons for Business, the Finance Industry and Policy Makers. Innovation in Business, Economics & Finance (1). Edizioni Ca' Foscari, pp. 125-136. ISBN 9788869694424 doi: https://doi.org/10.30687/978-88-6969-442-4/009
Henley faculty authors:
Dr Alfonso Dufour
Reference: Zhang, Hanyu and Dufour, Alfonso (2019) Modeling intraday volatility of European bond markets: a data filtering application. International Review of Financial Analysis, 63. pp. 131-146. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2019.02.002
Henley faculty authors:
Dr Alfonso Dufour Hanyu Zhang
Reference: Dufour, Alfonso, Marra, Miriam and Sangiorgi, Ivan (2019) Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos. Journal of Banking & Finance, 107. 105610. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.105610
Henley faculty authors:
Dr Alfonso Dufour - Dr Miriam Marra - Dr Ivan Sangiorgi
Reference: Pele, Daniel Traian, Lazar, Emese and Dufour, Alfonso (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300 doi: https://doi.org/10.3390/e19050226
Henley faculty authors:
Professor Emese Lazar - Dr Alfonso Dufour Daniel Traian Pele
Reference: Dufour, Alfonso, Stancu, Andrei and Varotto, Simone (2017) The equity-like behaviour of sovereign bonds. Journal of International Financial Markets, Institutions and Money, 48. pp. 25-46. ISSN 1042-4431 doi: https://doi.org/10.1016/j.intfin.2016.11.014
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto Andrei Stancu
Reference: Board, John, Dufour, Alfonso, Hartavi, Yusuf, Sutcliffe, Charles and Wells, Stephen (2015) Risk and trading on London's Alternative Investment Market: The stock market for smaller and growing companies. Palgrave Pivot. Palgrave Macmillan, Basingstoke. ISBN 9781137361295
Henley faculty authors:
Dr Alfonso Dufour - Professor Charles Sutcliffe Yusuf Hartavi- Stephen Wells
Reference: Perlin, Marcelo, Dufour, Alfonso and Brooks, Chris (2014) The determinants of a cross market arbitrage opportunity: theory and evidence for the European bond market. Annals of Finance, 10 (3). pp. 457-480. ISSN 1614-2454 doi: https://doi.org/10.1007/s10436-013-0242-5
Henley faculty authors:
Dr Alfonso Dufour Marcelo Perlin
Reference: Perlin, Marcelo, Brooks, Chris and Dufour, Alfonso (2014) On the performance of the tick test. Quarterly Review of Economics and Finance, 54 (1). pp. 42-50. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2013.07.009
Henley faculty authors:
Dr Alfonso Dufour Marcelo Perlin
Reference: Coro, Filippo, Dufour, Alfonso and Varotto, Simone (2013) Credit and liquidity components of corporate CDS spreads. Journal of Banking & Finance, 37 (12). pp. 5511-5525. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2013.07.010
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto Filippo Coro
Reference: Darbha, Madhucchand and Dufour, Alfonso (2013) Microstructure of the Euro-area government bond market. In: Baker, H. Kent and Kiymaz, Halil (eds.) Market microstructure in emerging and developed markets. Robert W. Kolb series in finance. John Wiley, Hoboken, pp. 39-58. ISBN 9781118278444
Henley faculty authors:
Dr Alfonso Dufour Madhucchand Darbha
Reference: Dufour, Alfonso and Nguyen, Minh (2012) Permanent trading impacts and bond yields. European Journal of Finance, 18 (9). pp. 841-864. ISSN 1466-4364 doi: https://doi.org/10.1080/1351847X.2011.601639
Henley faculty authors:
Dr Alfonso Dufour Minh Nguyen
Reference: Board, John, Wells, S., Dufour, Alfonso and Sutcliffe, Charles, (2010) The LSE’s AIM market: effect on returns and trading of Canadian stocks. Report. The Task Force to Modernize Securities Legislation , Canada.
Henley faculty authors:
Dr Alfonso Dufour - Professor Charles Sutcliffe S. Wells
Reference: Davies, Ryan, Dufour, Alfonso and Scott-Quinn, Brian (2006) The MiFID: competition in a new European equity market regulatory structure. In: Ferrarini, Guido and Wymeersch, Eddy (eds.) Investor Protection in Europe: Corporate Law Making, The MiFID and Beyond. Oxford University Press. ISBN 9780199202911
Henley faculty authors:
Dr Alfonso Dufour - Emeritus Professor Brian Scott-Quinn Ryan Davies
Reference: Board, John, Dufour, Alfonso, Sutcliffe, Charles 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.
Henley faculty authors:
Dr Alfonso Dufour - Professor Charles Sutcliffe S. Wells
Reference: Davies, R., Dufour, Alfonso and Scott-Quinn, Brian, (2003) Building a competitive and efficient European financial market. Report. European Capital Markets Institute, Brussels. pp103.
Henley faculty authors:
Dr Alfonso Dufour - Emeritus Professor Brian Scott-Quinn R. Davies
Reference: Dufour, Alfonso and Engle, Robert F. (2000) Time and the price impact of a trade. Journal of Finance, 55 (6). pp. 2467-2498. ISSN 0022-1082 doi: https://doi.org/10.1111/0022-1082.00297
Henley faculty authors:
Dr Alfonso Dufour Robert F. Engle

Understanding Management and Financial Research (Not for credit)

This module examines the steps involved in carrying out a PhD at the ICMA centre....

Module code: ICM116 (Not for credit)

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...

Module code: ICM325

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...

Module code: ICM332

Algorithmic and High Frequency Trading

This module aims to provide students with an understanding of financial decision making in the context of alternative investments....

Module code: ICM325

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...

Module code: ICM315

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...

Module code: ICM106

Past Events

4 July 2016 ❘ Brunel University, Uxbridge

Most recent news & media

New FinTech programme from September 2019!

New FinTech programme from September 2019!

12 November 2018
Can entropy be used to forecast risk?

Can entropy be used to forecast risk?

26 May 2017

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.

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