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The Cambridge-INET Institute - continuing as the Janeway 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.


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

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


Yegor Klochkov

Dr Yegor Klochkov
Janeway Institute Postdoctoral Research Fellow

Research Interests
Time Series, Network analysis and Concentration inequalities.

Published Papers

A Simple Joint Model for Returns, Volatility and Volatility of Volatility
Ding, Y., (2022), Journal of Econometrics, forthcoming

The Impact of Corporate QE on Liquidity: Evidence from the UK
Boneva, L., Elliott, D., Kaminska, I., Linton, O., McLaren, N. and Morley, B., (2022), The Economic Journal, forthcoming

Spectral Distribution of the Sample Covariance of High-Dimensional Time Series With Unit Roots
Onatski, A. and Wang, C. , (2021), Statistica Sinica, forthcoming

A Unified Framework for Efficient Estimation of General Treatment Models
Ai, C., Linton, O., Motegi, K. and Zhang, Z., (2021), Quantitative Economics, forthcoming

Modelling Demand for ESG
Ahmed, M. F., Gao, Y. and Satchell, S., (2021), European Journal of Finance, accepted

Spurious Factor Analysis
Onatski, A. and Wang, C., (2021), Econometrica


See all the Published Papers for the Empirical Theme

Janeway Institute Working Papers

Dynamic Autoregressive Liquidity (DArLiQ)
Hafner, C. M., Linton, O. B. and Wang, L. , (JIWP2206)

Non-Standard Errors
Menkveld, A., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüss, S., Razen, M., Weitzel, U., Linton, O. , (JIWP2112)


Cambridge-INET Working Papers

On Time Trend of COVID-19: A Panel Data Study
Dong, C., Gao, J., Linton, O., Peng, B., (WP2061)

Nonparametric Euler Equation Identification and Estimation
Escanciano, J C., Hoderlein, S., Lewbel, A., Linton, O., Srisuma, S., (WP2060)


See all the Working Papers for the Empirical Theme


Dr Matteo Barigozzi
Associate Professor Department of Statistics LSE

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

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

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


Oliver Linton Elected Society for Financial Econometrics President

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

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

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