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Research Interests

Econometric Theory and practice; Empirical Finance

Recent Publications

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

Linton, O. B., Rau, R., Baert, P., Bossaerts, P., Crowcroft, J., Evans, G.R., Ewart, P., Gay, N., Kattuman, P., Scholtes, S., Sabourian, H., Smith, R. J. Is the EJRA proportionate and therefore justified? A critical review of the EJRA policy at Cambridge, (2024) CWPE2428
Ge, S., Li, S., Linton, O. B., Liu, W., Su, W. Should We Augment Large Covariance Matrix Estimation with Auxiliary Network Information?, (2024) CWPE2427
Dalderop, J., Linton, O. B. Estimating a Density Ratio Model for Stock Market Risk and Option Demand, (2024) CWPE2411
Hafner, C. M., Linton, O. B., Wang, L. The Effect of Stock Splits on Liquidity in a Dynamic Model, (2024) CWPE2410
Hong, Y., Linton, O. B., McCabe, B., Sun, J., Wang, S. Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach, (2023) CWPE2367

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

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 co-sponsored 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?


PIIA Paper 6 - Lent - Econometrics

PhD Students


Weiguang Liu
PhD Title: Non-parametric Econometrics and Empirical Finance
Research: Econometrics and Empirical Finance
Mingmei Xiao
PhD Title:
Research: Empirical Asset Pricing and Financial Econometrics
Zhaocheng Zhang
PhD Title:
Research: Empirical Research in Finance and Networks
Kilian Bachmair
PhD Title:
Research: Financial Econometrics - effects of market reforms on aspects of financial market functioning
Yiyang Zhang
PhD Title:
Research: Empirical Finance and Financial Econometrics


Yiming Xu
PhD Title: Expected stock returns and capital misallocation in production networks
Ganesh Karapakula
PhD Title:
Research: Applied Econometrics
Nicholas Waltz
PhD Title:
Yinfeng Zeng
PhD Title:
Research: Econometrics, Factor Models

Professor Oliver Linton

Chair of the Faculty
Professor of Political Economy

Research Group:

CV: Curriculum Vitae

Personal Site:

Contact Details
Room: 25
Office Hours: Wednesday 4-5pm
College: Fellow of Trinity College