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 EconomyResearch Interests
Econometric Theory and practice; Empirical Finance
Prof. Alexey Onatskiy
Professor of EconometricsResearch Interests
Econometrics, statistics, factor models, large random matrices.
Postdoctoral
Researchers:
Dr Yegor Klochkov
Janeway Institute Postdoctoral Research FellowResearch Interests
Time Series, Network analysis and Concentration inequalities.
Published Papers
See all the Published Papers for the Empirical Theme
Janeway Institute Working Papers
Cambridge-INET Working Papers
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
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
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 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
See all the Past Events for the Empirical Theme
News
Best Paper Award for Dr Toke Aidt
A University of Cambridge academic along with two international collaborators has been awarded the Oliver Williamson Best Paper Award, for research that examines democratic purges in post-World War II France.
Published on - Friday 1st September 2023
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
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