OLIVER LINTON
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Teaching
Empirical Finance
Finance and Asset Pricing
Financial Econometrics
Nonparametric Methods
Part IIA, Paper 6 Maths and Stats for Economics Lent
Students
Talks
Conference
Photos of Colleagues in a Variety of Circumstances
Talks
The Effects of High Frequency Trading on Security Markets and some Policy Responses
Multivariate Variance Ratios (Melbourne, July, 2015)
Nonparametric Portfolio Choice with Many conditioners (Cambridge, 2015)
High Frequency Trading: Part of the problem or part of the solution? (Cambridge, 2015)
Single Stock circuitbreakers on the LSE: Do they improve market quality (BoE, 2014)
Comments on GMM with Latent Variables
(CEMMAP, 26th April, 2013)
High Frequency Trading, Market Fragmentation,and Equity Market Quality: Panel data evidence from the UK
(Cambridge, 22nd April, 2013)
Some semiparametric models for panels of fi nancial time series with an application to fragmentation of trading
(December, 2012)
Nonparametric Estimation of a Polarization Measure
(
Yale, September, 2010)
Semiparametric Estimation of Markov Decision Processes with Continuous State Space
(September 2010)
Semiparametric Estimation of Time varying Diffusion Models
(Seoul National, September, 2009)
Efficient Estimation of a Multivariate Multiplicative Volatility Model
(St Andrews, March, 2009)
A nonparametric Threshold model with application to zero returns (Singapore, 2008
)
Applications of Iterative Smoothing Methods in Economics and Finance (Singapore, 2008)
Efficient Semiparametric Fama French (2007
)
A Smoothed Least Squares Estimator For The Threshold Regression Model
(Northwestern, February 2007)
Estimation of Some Separable Nonparametric Time Series Models
(FEMES, July 2006)
Testing Asset Pricing Models in the Presence of Measurement Error: A Nonparametric Approach
(FERM – Xiamen, July 2006)
Testing for Stochastic Dominance Efficiency
(Cemmap Workshop Nov. 2005)
A Quantilogram Approach To Evaluating Directional Predictability
(UCL, November, 2005)
Estimating Semiparametric Arch(∞) Models By Kernel Methods
(Stockholm, August 23, 2003)
Contact Information
Room 25,
Austin Robinson Building,
Sidgwick Avenue,
University of Cambridge,
Cambridge CB3 9DD,
United Kingdom
E-mail
:
obl20@cam.ac.uk
Phone
:
+44 (0) 1223 335229
Latest Highlights
Interview with Prof. Maureen O'Hara
High Frequency Trading and Finance
Working Papers:
Multivariate Variance Ratio Statistics
(with S. Y. Hong, and H. J. Zhang) June, 2015
Event:
12-14 Mar, 2015
Microstructure Theory and Application
Winstanley Lecture Theatre,
Trinity College, Cambridge University