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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 Forecasting
Dong, 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) CWPE1906
Linton, 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 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

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)


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

PhD Students


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
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


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 4-5pm
College: Fellow of Trinity College