skip to content

The Cambridge-INET Institute

 

Financial markets serve the important function of transferring risk across individuals and over time, and they provide information on the performance of firms and economies. As such their effective performance is of great interest to policymakers, pension holders, and consumers, yet recent events have created profound mistrust about their operation. The theme brings together researchers working on fundamental methodological issues that can help provide evidence on the functioning of financial markets. We have several projects concerned with market microstructure, about how the trading environment impacts the outcomes for long term investors and policy makers. Does the presence and use of advanced technology improve or degrade outcomes for pension funds and retail investors? What is the best way of measuring volatility with a view to comparisons across markets and across time? Does the presence of market stabilisation mechanisms such as circuit breakers reduce the potential for nonlinear feedback loops and volatility spillovers across securities and markets? Speed is one aspect of current financial markets, but big data is another. The vast databases and the improved hardware and software environments mean that the research cutting edge is constantly being redefined to take account of the better possibilities for evidentiary analysis. We have several projects and researchers who are at the forefront of this work.


Coordinators:

Oliver Linton

Prof. Oliver Linton
Professor of Political Economy
Director of Research

Research Interests
Econometric Theory and practice; Empirical Finance

Alexey Onatskiy

Prof. Alexey Onatskiy
Professor of Econometrics
Placement Director

Research Interests
Econometrics, statistics, factor models, large random matrices.


Postdoctoral
Researchers:

Yegor Klochkov

Dr Yegor Klochkov
Cambridge-INET Postdoctoral Research Fellow

Research Interests
Time Series, Network analysis and Concentration inequalities.

Merrick Li

Dr Merrick Li
Cambridge-INET Postdoctoral Research Fellow

Research Interests
Analysis of High-Frequency Financial Data


 

Weilun  Zhou

Dr Weilun Zhou
Cambridge-INET Postdoctoral Research Fellow

Research Interests
Non- and Semi-parametric Econometrics, Time Series Analysis, and Financial Econometrics


Published Papers


Multiscale clustering of nonparametric regression curves
Vogt, M., Linton, O., (2020), Journal of Econometrics


Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data
Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H., (2020), Journal of Econometrics


Short selling in extreme events
Geraci, M. V., Garbaravicius, T. and Veredas, D., (2018), Journal of Financial Stability


 
 

See all the Published Papers for the Empirical Theme

Working Papers


Modelling Demand for ESG
Ahmed, M. F., Gao, Y. and Satchell, S., (WP2043)

Regional Heterogeneity and U.S. Presidential Elections
Ahmed, R. and Pesaran, M. H., (WP2042)


Common Short Selling and Excess Comovement
Geraci, M. V., Gnabo, J-Y. and Veredas, D., (WP2034)

When will the Covid-19 pandemic peak?
Li, S. and Linton, O., (WP2011)


Spurious Factor Analysis
Onatski, A. and Wang, C., (WP2001)

A ReMeDI for Microstructure Noise
Merrick Li, Z. and Linton, O., (WP1924)


 
 

See all the Working Papers for the Empirical Theme

Visitors


Dr Matteo Barigozzi
Associate Professor Department of Statistics LSE

Research
High-Dimensional Time Series Analysis and Specifically on Large Dynamic Factor Models with Extensions to the Non-Stationary Setting

Visiting between:
(03 Feb 2020 - 13 Feb 2020)

Host: Alexey Onatskiy

Dr Simon Clinet
Keio University

Research
Statistical Inference, Stochastic Processes, Financial Statistics, Financial Econometrics, High Frequency Data, Market Microstructure, Limit Order Books

Visiting between:
(16 Dec 2019 - 21 Dec 2019)

Host: Alexey Onatskiy


Dr Yoann Potiron
Keio University

Research
Econometrics, Finance, High Frequency Data, Market Microstructure Noise, Limit Order Book

Visiting between:
(16 Dec 2019 - 21 Dec 2019)

Host: Alexey Onatskiy

Chaohua Dong
Zhongnan University of Economics and Law

Visiting between:
(03 Sep 2019 - 30 Oct 2019)

Host: Oliver Linton


 
 

See all the Visitors for the Empirical Theme

Past Events


Econometric Methods for Modern Data Structures

Econometric Methods for Modern Data Structures

This is an European Research Council (ERC) event co-sponsored by Cambridge-INET and Centre for Microdata Methods and Practice (Cemmap). The event is taking place at Trinity Hall Cambridge.

Event Date - Thursday 28th May 2020


Workshop on Financial Econometrics

Workshop on Financial Econometrics

Cambridge-INET is sponsoring a one day workshop on Financial Econometrics on 18th December 2019 from 9.30am to 5.30pm, in the Meade Room, Faculty of Economics.

Event Date - Wednesday 18th December 2019


Cambridge-INET Econometrics Mini Conference

Cambridge-INET Econometrics Mini Conference

Cambridge-INET are hosting an Econometrics Mini Conference in the Keynes Room, Faculty of Economics, on Tuesday 23rd July, between 12.30pm - 6.00pm.

Event Date - Tuesday 23rd July 2019


Big Data Methods in Econometrics and Finance

Big Data Methods in Econometrics and Finance

Cambridge-INET and CERF 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


See all the Past Events for the Empirical Theme

News


5 Years Cambridge-INET

5 Years Cambridge-INET

Cambridge-INET is hosting a series of high profile events to mark the 5th anniversary of the Cambridge Institute for New Economic Thinking.

Published on - Tuesday 1st May 2018


Professor Oliver Linton Receives Humboldt Research Award 2015

Professor Oliver Linton Receives Humboldt Research Award 2015

Professor Oliver Linton, Cambridge University is the 2015 laureate of a Humboldt Research Award of the Alexander von Humboldt Foundation. The prize is awarded to outstanding scientists who have been distinguished by the substantial impact they have achieved in their areas of expertise.

Published on - Thursday 9th April 2015


See all News