Dr Ingmar Nolte


Research Overview

Personal Webpage: www.lancs.ac.uk/staff/nolte/

My research interests lie in the area of financial econometrics, market microstructure and forecasting. I am interested in high frequency finance & econometrics and the modelling of multivariate trading and volatility processes. I am working on developing micro-econometric techniques (discrete choice, count data, point process models) for the analysis of complex finance relationships, which involves researching the econometrics of such models for time-series and panel setups. I apply these models to gain a better understanding of the disaggregated trading process, which involves understanding the behaviour of individual market participants such as traders, brokers and analysts. I am also interested in the analysis of survey data and maro-forecasting with both qualitative and continuous data. My research in this area involves the analysis of forecasting combination techniques and multivariate density forecasting.

Disagreement versus uncertainty: evidence from distribution forecasts
Krueger, F., Nolte, I. 2015 In: Journal of Banking and Finance. 15 p.
Journal article

The information content of retail investors' order flow
Nolte, I., Nolte, S. 2015 In: European Journal of Finance.
Journal article

Sell-side analysts' career concerns during banking stresses
Nolte, I., Nolte, S., Vasios, M. 12/2014 In: Journal of Banking and Finance. 49, p. 424-441. 18 p.
Journal article

High frequency trading and limit order book dynamics
Nolte, I., Salmon, M., Adcock, C. 25/11/2014 London : Routledge. 320 p. ISBN: 1138829382, 9781138829381.

How do individual investors trade?
Nolte, I., Nolte, S. 2014 In: High frequency trading and limit order book dynamics. London : Routledge p. 189-215. 27 p. ISBN: 1138829382, 9781138829381.

A detailed investigation of the disposition effect and individual trading behavior: a panel survival approach
Nolte, I. 2012 In: European Journal of Finance. 18, 10, p. 885-919. 35 p.
Journal article

How do individual investors trade?
Nolte, I., Nolte, S. 2012 In: European Journal of Finance. 18, 10, p. 921-947. 27 p.
Journal article

Least Squares inference on integrated volatility and the relationship between efficient Prices and noise
Nolte, I., Voev, V. 2012 In: Journal of Business and Economic Statistics. 30, 1, p. 94-108. 15 p.
Journal article

Cross hedging under multiplicative basis risk
Adam-Müller, A., Nolte, I. 11/2011 In: Journal of Banking and Finance. 35, 11, p. 2956-2964. 9 p.
Journal article

An inflated multivariate integer count hurdle model: an application to bid and ask quote dynamics
Bien, K., Nolte, I., Pohlmeier, W. 06/2011 In: Journal of Applied Econometrics. 26, 4, p. 669-707. 39 p.
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Improved inference in regression with overlapping observations
Britten-Jones, M., Neuberger, A., Nolte, I. 06/2011 In: Journal of Business Finance and Accounting. 38, 5-6, p. 657-683. 27 p.
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Trading dynamics in the foreign exchange market: a latent factor panel intensity approach
Nolte, I., Voev, V. 2011 In: Journal of Financial Econometrics. 9, 4, p. 685-716. 32 p.
Journal article

Modeling a multivariate transaction process
Nolte, I. 2008 In: Journal of Financial Econometrics. 6, 1, p. 143-170. 28 p.
Journal article

Using forecasts of forecasters to forecast
Nolte, I., Pohlmeier, W. 01/2007 In: International Journal of Forecasting. 23, 1, p. 15-28. 14 p.
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Modelling financial transaction price movements: a dynamic integer count data model
Liesenfeld, R., Nolte, I., Pohlmeier, W. 01/2006 In: Empirical Economics. 30, 4, p. 795-825. 31 p.
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