Research Interests

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Econometric Theory and practice; Empirical Finance

Recent Publications

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Published Papers

Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, (2022) Econometrica
Ai, C., Linton, O., Motegi, K. and Zhang, Z. A Unified Framework for Efficient Estimation of General Treatment Models, (2021) Quantitative Economics
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O. and Srisuma, S. Nonparametric Euler Equation Identification and Estimation, (2021) Econometric Theory, forthcoming
Linton, O. and Tang, H. Estimation of the Kronecker Covariance Model by Quadratic Form, (2021) Econometric Theory, forthcoming
Linton, O. and Wu, J. A Coupled Component DCS GARCH Model for Intraday and Overnight Volatility, (2020) Journal of Econometrics
Li, S. and Linton, O. When Will the Covid-19 Pandemic Peak?, (2021) Journal of Econometrics
Auld, T. and Linton, O. The Behaviour of Betting and Currency Markets on the Night of the EU Referendum, (2019) International Journal of Forecasting
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
Vogt, M. and Linton, O. Classification of Non-Parametric Regression Functions in Longitudinal Data Models, (2017) Journal of the Royal Statistical Society. Series B: Statistical Methodology
Hong, S.Y., Linton, O. and Zhang, H.J. An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability, (2017) Journal of Financial Econometrics
Vogt, M. and Linton, O. Nonparametric Estimation of a Periodic Sequence in the Presence of a Smooth Trend, (2014) Biometrika
Connor, G., Hagmann, M. and Linton, O. Efficient Semiparametric Estimation of the Fama–French Model and Extensions, (2012) Econometrica
Linton, O. and O'hara, M The Impact of Computer Trading on Liquidity, Price Efficiency/Discovery and Transaction Costs, (2011) The Future of Computer Trading in Financial Markets

Cambridge Working Papers in Economics

Chen, J., Li, D., Li, Y., Linton, O. B. Estimating Time-Varying Networks for High-Dimensional Time Series, (2022) CWPE2273
Linton, O. B., Xu, E. Auditing the Auditors: An evaluation of the REF2021 Output Results, (2022) CWPE2266
Ashby, M., Linton, O. B. Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?, (2022) CWPE2259
Cheng, T., Dong, C., Gao, J., Linton, O. GMM Estimation for High–Dimensional Panel Data Models, (2022) CWPE2245
Vogt, M., Walsh, C., Linton, O. CCE Estimation of High-Dimensional Panel Data Models with Interactive Fixed Effects, (2022) CWPE2242

Authored Book

Linton, O. The Models and Methods of Financial Econometrics, (2019), Cambridge University Press
Linton, O. Probability, Statistics and Econometrics, (2017), Science Direct

Research Activities

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Markov Decision Process and Reinforcement Learning Workshop
The Janeway Institute and the Department of Mathematics and the Department of Economics at the National University of Singapore will be co-sponsoring a workshop on "Markov Decision Process and Reinforcement Learning", from 22nd-23rd September 2023.
Event Date - Friday 22nd September 2023 - Saturday 23rd September 2023

Neuro Tensors in Finance Mini-Conference
The Janeway Institute is organising a mini-conference on Neuro Tensors in Finance. It will be held in the Faculty of Economics, in March 2023.
Event Date - Thursday 16th March 2023

SoFiE 2022 Annual Conference
The Janeway Institute, Cambridge Endowment for Research in Finance (CERF), Centre for Microdata Methods and Practice (cemmap) & Society for Financial Econometrics (SoFiE) sponsored the SoFiE 2022 Annual Conference. The event took place at Churchill College (24th - 26th June) and Robinson College (27th June), University of Cambridge.
Event Date - Friday 24th June 2022 - Monday 27th June 2022

Cambridge’s Economics and Econometrics recognised in REF 2021
The results from the latest Research Excellence Framework (REF) have highlighted the global impact of the University of Cambridge’s research in the field of economics, with an acknowledgement of the world leading quality of our overall research submission marked by both an increase in GPA, and an increase in the percentage of the submission scored as ‘world leading’.
Published on - Thursday 12th May 2022

Oliver Linton Elected Society for Financial Econometrics President
The Society for Financial Econometrics is a global network of academics and practitioners dedicated to sharing research and ideas in the fast growing field of financial econometrics.
Published on - Tuesday 6th April 2021

Research Grants

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Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (European Commission (FP7))

The Janeway Institute for Economics

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Coordinator for Empirical Analysis of Financial Markets Research Theme

Keynes Fund Sponsored Projects

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Linton, O., The Effectiveness of Circuit Breakers on the LSE (JHLD)
Linton, O. and Dalderop, J., Central Clearing and the Demand for Risk Sharing in OTC Derivative Markets (JHOF)
Li, M. and Linton, O., New Statistical Inference Methods of High-frequency Liquidity and Volatility (JHUL)

COVID-19 Economic Research

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Special Feature: When will the Covid-19 Pandemic Peak?

Teaching

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PIIA Paper 6 - Lent - Econometrics

PhD Students

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