Research Interests
Econometric Theory and practice; Empirical Finance
Recent Publications
Published Papers
Merrick Li, Z. and Linton, O. A ReMeDI for Microstructure Noise, (2022) EconometricaAi, 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) CWPE2273Linton, 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 the dynamics of 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 PressLinton, O. Probability, Statistics and Econometrics, (2017), Science Direct
Research Activities
New chair for Faculty of Economics
The University of Cambridge Faculty of Economics is delighted to announce Professor Oliver Linton becomes the new Chair of the Faculty, starting on October the 1st, 2023.
Published on - Monday 25th September 2023
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
Research Grants
Namsef - Nonparametric And Semiparametric Methods In Economics And Finance (European Commission (FP7))
The Janeway Institute for Economics
Coordinator for Empirical Analysis of Financial Markets Research Theme
Keynes Fund Sponsored Projects
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
Special Feature: When will the Covid-19 Pandemic Peak?
Teaching
PIIA Paper 6 - Lent - Econometrics
PhD Students
Supervisor

Yashuang (Dexter) Ding
PhD Title: Essays in Volatility Modelling
Research: Financial Econometrics, Time Series, Empirical Asset Pricing, Continuous Time Finance
PhD Title: Essays in Volatility Modelling
Research: Financial Econometrics, Time Series, Empirical Asset Pricing, Continuous Time Finance

Weiguang Liu
PhD Title: Non-parametric Econometrics and Empirical Finance
Research: Econometrics and Empirical Finance
PhD Title: Non-parametric Econometrics and Empirical Finance
Research: Econometrics and Empirical Finance



Kilian Bachmair
PhD Title:
Research: Financial Econometrics - effects of market reforms on aspects of financial market functioning
PhD Title:
Research: Financial Econometrics - effects of market reforms on aspects of financial market functioning
Advisor

Yiming Xu
PhD Title: Expected stock returns and capital misallocation in production networks
Research:
PhD Title: Expected stock returns and capital misallocation in production networks
Research:


Nicholas Waltz
PhD Title:
Research:
PhD Title:
Research:

Yinfeng Zeng
PhD Title:
Research:
PhD Title:
Research: