Research Interests
Econometric Theory and practice; Empirical Finance
Recent Publications
Published Papers
Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, (2019) International Journal of ForecastingDong, C. and Linton, O. Additive nonparametric models with time variable and both stationary and nonstationary regressors, (2018) Journal of Econometrics
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., Shiu, J-L. Semiparametric Nonlinear Panel Data Models with Measurement Error, (2019) CWPE1906Linton, O., Xiao, Z. Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity, (2019) CWPE1907
Merrick Li, Z., Linton, O Robust Measures of Microstructure Noise, (2019) CWPE1908
Koo, B., La Vecchia, D., Linton, O. Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information, (2019) CWPE1916
Linton, O. and Mahmoodzadeh, S. Implications of High-Frequency Trading for Security Markets, (2018) CWPE1802
Authored Book
Linton, O. Probability, statistics and econometrics, (2017) - Academic PressChapter in Book
Linton, O. and Xiao, Z. Quantile regression applications in finance, (2017) in the book: Handbook of quantile regression - CRC PressLinton, 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
Research Activities
Big Data Methods in Econometrics and Finance
Cambridge-INET are holding an conference "Big Data Methods in Econometrics and Finance" on 20th and 21st May 2019, from 9.00am - 5.00pm, in Winstanley lecture theatre, Trinity College, Cambridge.
Event Date - Monday 20th May 2019 - Tuesday 21st May 2019
Gamblers Predicted Brexit before Financial Traders
The University's Research site have published an article on a study authored by Tom Auld and Professor Oliver Linton that shows the betting market predicted the Brexit result an hour earlier than the foreign exchange market. A number of media outlets have also picked up the findings of their paper, including Sky News, Daily Mail, Hindustan Times, London Economic, Interesting Engineering, Belfast Telegraph and The Express.
Published on - Monday 14th January 2019
Panel Data Workshop
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.
Event Date - Tuesday 23rd May 2017 - Wednesday 24th May 2017
Text, Herding and Sentiment
This 3 day workshop will take place on the 11th - 13th September, 2017, in the Winstanley theatre, Trinity College, Cambridge.
Event Date - Tuesday 12th September 2017 - Wednesday 13th September 2017
Prof Oliver B. Linton awarded status of "Thousand Talents Plan" by Renmin University of China
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)
Published on - Wednesday 21st September 2016
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)
Teaching
PIIA Paper 6 - Lent - Econometrics
F500 - Empirical Finance
Phd30 - Topics in Advanced Econometrics
PhD Students
Supervisor
Joseph Fisher
PhD Title: Forecasting economic variables with machine learning techniques and internet data
Research:
PhD Title: Forecasting economic variables with machine learning techniques and internet data
Research:
Michael Ashby
PhD Title: Do Consumption-based asset pricing models explain mean reversion in stock returns
Research:
PhD Title: Do Consumption-based asset pricing models explain mean reversion in stock returns
Research:
Shaoran Li
PhD Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Research:
PhD Title: Specification, Selection, Estimation and Classification of semi-parametric Regressions
Research:
Advisor
Thomas Auld
PhD Title: Market Efficiency and Political Events
Research: Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure
PhD Title: Market Efficiency and Political Events
Research: Market Efficiency, Bayesian Methods, Politics, High Frequency Trading, Market Microstructure
