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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.


Published Papers



Implications of high-frequency trading for security markets
Linton, O. and Mahmoodzadeh, S., (2018), Annual Review of Economics

Testing in High-dimensional Spiked Models
Johnstone, I. M. and Onatski, A., (2018), Annals of Statistics, forthcoming


Semiparametric ultra-high dimensional model averaging of nonlinear dynamic time series
Chen, J., Li, D., Linton, O., and Lu, Z., (2018), Journal of the American Statistical Association

Alternative Asymptotics for Cointegration Tests in Large VARs
Onatski, A. and Wang, C. , (2018), Econometrica


 
 

See all the Published Papers for the Empirical Theme

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 - 14 Feb 2020)

Host: Alexey Onatskiy

Chaochua Dong
Zhongnan University of Economics and Law

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

Host: Oliver Linton


Prof Yoon-Jae Whang
Seoul National University

Research
Econometrics

Visiting between:
(23 Jul 2019 - 25 Jul 2019)

Host: Oliver Linton

Prof Farshid Vahid-Araghi
Monash University

Research
Econometrics, Applied Economics, Time Series Analysis, Econometric Analysis of Experimental Data

Visiting between:
(15 Jul 2019 - 30 Jul 2019)

Host: Oliver Linton


 
 

See all the Visitors for the Empirical Theme

Upcoming Events


Workshop on Financial Econometrics

Workshop on Financial Econometrics

Cambridge-INET is sponsoring a one day workshop on Financial Econometrics on 18th December 2019 in the Keynes Room, Faculty of Economics.

Event Date - Wednesday 18th December 2019


See all the Upcoming Events

Past Events


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 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

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

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

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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