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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: Sina, A. , Billio, M., Dufour, A. , Rocciolo, F. and Varotto, S. (2024) The systemic risk of leveraged and covenant-lite loan syndications. International Review of Financial Analysis. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2024.103738 (In Press)
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Billio, M., Busetto, F., Dufour, A. and Varotto, S. (2024) Bond supply expectations and the term structure of interest rates. Journal of International Money and Finance. 103217. ISSN 1873-0639 doi: https://doi.org/10.1016/j.jimonfin.2024.103217
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Cathcart, L., Dufour, A. , Rossi, L. and Varotto, S. (2024) Corporate bankruptcy and banking deregulation: the effect of financial leverage. Journal of Banking and Finance. 107219. ISSN 1872-6372 doi: https://doi.org/10.1016/j.jbankfin.2024.107219
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Zaznov, I., Kunkel, J. M. , Badii, A. and Dufour, A. (2024) The intraday dynamics predictor: a TrioFlow Fusion of Convolutional Layers and Gated Recurrent Units for high-frequency price movement forecasting. Applied Sciences, 14 (7). 2984. ISSN 2076-3417 doi: https://doi.org/10.3390/app14072984
Henley faculty authors:
Dr Alfonso Dufour
Reference: Zhang, H. and Dufour, A. (2024) Managing portfolio risk during crisis times: a dynamic conditional correlation perspective. The Quarterly Review of Economics and Finance, 94. pp. 241-251. ISSN 1062-9769 doi: https://doi.org/10.1016/j.qref.2024.02.002
Henley faculty authors:
Dr Alfonso Dufour
Reference: Billio, M., Dufour, A. , Segato, S. and Varotto, S. (2023) Complexity and the default risk of mortgage-backed securities. Journal of Banking & Finance, 155. 106993. ISSN 1034-3040 doi: https://doi.org/10.1016/j.jbankfin.2023.106993
Henley faculty authors:
Dr Alfonso Dufour - Professor Simone Varotto
Reference: Zaznov, I., Kunkel, J. , Dufour, A. and Badii, A. (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, A. (2020) Stock performance when facing the unexpected. In: Billio, M. and Varotto, S. (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: Busetto, F., Dufour, A. and Varotto, S. (2020) COVID-19 and fiscal policy in the euro area. In: Billio, M. and Varotto, S. (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, L., Dufour, A. , Rossi, L. and Varotto, S. (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, A. , Marra, M. and Sangiorgi, I. (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: Dufour, A. , Marra, M. , Sangiorgi, I. and Skinner, F. 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: Zhang, H. and Dufour, A. (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: Pele, D. T., Lazar, E. and Dufour, A. (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, A. , Stancu, A. and Varotto, S. (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: Perlin, M., Dufour, A. and Brooks, C. (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: Board, J. , Dufour, A. , Hartavi, Y., Sutcliffe, C. and Wells, S. (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, M., Brooks, C. and Dufour, A. (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, F., Dufour, A. and Varotto, S. (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: Dufour, A. and Engle, R. 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
Reference: 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
Henley faculty authors:
Dr Alfonso Dufour - Emeritus Professor Brian Scott-Quinn Ryan Davies
Reference: 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, pp. 39-58. ISBN 9781118278444
Henley faculty authors:
Dr Alfonso Dufour Madhucchand Darbha
Reference: 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: https://doi.org/10.1080/1351847X.2011.601639
Henley faculty authors:
Dr Alfonso Dufour Minh Nguyen
Reference: 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.
Henley faculty authors:
Dr Alfonso Dufour - Professor Charles Sutcliffe S. Wells
Reference: Board, J. , Wells, S., Dufour, A. and Sutcliffe, C. , (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, R., Dufour, A. and Scott-Quinn, B. , (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

Algorithmic and High Frequency Trading

Industry participants estimate that 70-80% of equity trades are executed through computers. Market-makers in equity, fixed income and currency markets use algorithms to automatically adjust their quotes....

Module code: ICM612

Digital Banking, Payment Systems and Financial Markets

The module first explores the role of banks, central banks and money in the economy and how technology is reshaping the role of banks and creating new business models for...

Module code: ICM403

Financial Securities and Markets

This module focuses on fixed income and equity securities evaluation and provides an introduction to international financial markets and an overview of financial institutions. Part I of the module applies...

Module code: ICM402

Past Events

4 July 2016 ❘ Brunel University, Uxbridge

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.