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Research Interests

Econometric Theory and practice; Empirical Finance

Recent Publications

Published Papers

Dong, C. and Linton, O. Additive nonparametric models with time variable and both stationary and nonstationary regressors, (2018) Journal of Econometrics
Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, (2018) International Journal of Forecasting, Prediction Markets Special, forthcoming
Linton, O. and Mahmoodzadeh, S. Implications of high-frequency trading for security markets, (2018) Annual Review of Economics
Chen, J., Li, D., Linton, O., and Lu, Z. Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series, (2018) Journal of the American Statistical Association
Boneva, L. and Linton, O. A discrete-choice model for large heterogeneous panels with interactive fixed effects with an application to the determinants of corporate bond issuance, (2017) Journal of Applied Econometrics

Cambridge Working Papers in Economics

Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, (2018) CWPE1802
Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, (2017) CWPE1750
Boneva, L. and Linton, O. A Discrete Choice Model For Large Heterogeneous Panels with Interactive Fixed Effects with an Application to the Determinants of Corporate Bond Issuance, (2017) CWPE1703
Chen, X., Linton, O. and Schneeberger, S. Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model, (2016) CWPE1620
Hafner, C. M. and Linton, O. Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case, (2016) CWPE1664

Authored Book

Linton, O. Probability, statistics and econometrics, (2017) - Academic Press

Chapter in Book

Linton, O. and Xiao, Z. Quantile regression applications in finance, (2017) in the book: Handbook of quantile regression - CRC Press
Linton, O. and Park, S. Realized volatility : theory and applications, (2012) in the book: Handbook of volatility models and their applications - Wiley
Xia, Y., Haerdle, W. and Linton, O. Optimal smoothing for a computationally and statistically efficient single index estimator, (2011) in the book: Exploring research frontiers in contemporary statistics and econometrics : a festschrift for Leopold Simar - Springer / Physica Verlag
Li, S. and Linton, O. Evaluating hedge fund performance: a stochastic dominance approach , (2010) in the book: Handbook of portfolio construction: contemporary applications of Markowitz techniques - Springer

Recent Activities

Panel Data Workshop - Publication Date: 2017-05-11
This workshop will take place on the 23rd - 24th May 2017, Winstanley theatre, Trinity College and will involve a number of speakers domestic and international presenting their work on panel data methods with applications in finance and macroeconomics.

Text, Herding and Sentiment - Publication Date: 2017-05-11
This 3 day workshop will take place on the 11th - 13th September, 2017, in the Winstanley theatre, Trinity College, Cambridge.

Prof Oliver B. Linton awarded status of “Thousand Talents Plan” by Renmin University of China - Publication Date: 2016-09-21
Prof Oliver B. Linton of the University of Cambridge was designated the status of “Thousand Talents Plan” with affiliation at Renmin University of China. The ceremony for signing of the contract was held in Beijing on the 15th of June, 2016. (Please note the article is only available in Chinese)

Stochastic Dominance Theory and Applications Workshop - Publication Date: 2016-07-20
The Stochastic Dominance Theory and Applications workshop will be held in the Winstanley theatre, Trinity College, on the 15th and 16th September 2016.

The Microstructure of Foreign Exchange Markets - Publication Date: 2016-05-19
The Microstructure of Foreign Exchange Markets will take place on Thursday 19th May - Saturday 21st May 2016, in the Winstanley theatre, Trinity college.

Research Grants

Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (EC FP7 ERC AIG)

Keynes Fund Sponsored Projects

The effectiveness of circuit breakers on the LSE (JHLD) Research Output
Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF)


PIIA Paper 6 - Lent - Econometrics
F500 - Empirical Finance
Phd30 - Topics in Advanced Econometrics

PhD Students


Jeroen Dalderop
PhD Title: Econometric Analysis of Derivative Prices
Research: Econometrics, Financial Economics, and Asset Pricing
Dario Palumbo
PhD Title: Modelling and Extracting the Term Structure of Interest Rates: A Unifying Framework
Alexis De Boeck
PhD Title: Inference in Partially Identified Non-separable Models
Joseph Fisher
PhD Title: Forecasting economic variables with machine learning techniques and internet data
Ondrej Tobek
PhD Title: In Search of Ultimate Liquidity Proxy
Research: Empirical Finance, Asset pricing
Michael Ashby
PhD Title: Do Consumption-based asset pricing models explain mean reversion in stock returns
Shuyi Ge
PhD Title: Network Econometrics
Shaoran Li
PhD Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Yashuang Ding
PhD Title: Essays in Financial Economics, Continuous Time, Stochastic Models
Weiguang Liu
PhD Title: Non-parametric Econometrics and Empirical Finance


Ashish Patel
PhD Title: Partition-based goodness of fit tests for moment condition models
Ruochen Wu
PhD Title: Semi-parametric Bayesian Bootstrapped Semiparametric Bayesian Inference: An Application to Demand SystemsEconometrics
Thomas Auld
PhD Title: Market Efficiency and Political Events
Research: Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure

Professor Oliver Linton

Professor of Political Economy
Director of Research

Research Group:

CV: Curriculum Vitae

Personal Site:

Contact Details
Room: 25
Office Hours: Wednesday 5-6pm
College: Fellow of Trinity College