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:
Prof. Oliver Linton
Professor of Political Economy
Director of ResearchResearch Interests
Econometric Theory and practice; Empirical Finance
Prof. Alexey Onatskiy
Professor of Econometrics
Placement DirectorResearch Interests
Econometrics, statistics, factor models, large random matrices.
Published Papers
See all the Published Papers for the Empirical Theme
Working Papers
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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 - 14 Feb 2020)
Host: Alexey Onatskiy
Dr Simon Clinet
Keio University
Visiting between:
(16 Dec 2019 - 21 Dec 2019)
Host: Alexey Onatskiy
Dr Yoann Potiron
Keio University
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
Upcoming Events
Workshop on Financial Econometrics
Cambridge-INET is sponsoring a one day workshop on Financial Econometrics on 18th December 2019 in the Meade Room, Faculty of Economics.
Event Date - Wednesday 18th December 2019
Past Events
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
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
Workshop on Score-Driven Time Series Models
Cambridge-INET are holding an event "Workshop on score-driven time series models" on 28th and 29th March 2018, from 9.00am - 5.00pm, in Winstanley lecture theatre, Trinity College, Cambridge. Please register you interest.
Event Date - Wednesday 27th March 2019 - Friday 29th March 2019
Workshop on Market Liquidity and Microstructure Invariance
Cambridge-INET and CERF are hosting a "Market Liquidity and Microstructure Invariance" event on the 15th - 16th October 2018 in Winstanley lecture theatre, Trinity College, Cambridge. Details for the speakers will be anounced in due course.
Event Date - Tuesday 16th October 2018
See all the Past Events for the Empirical Theme
News
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, 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