Professor Ingmar Nolte

Professor of Finance & Econometrics

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.

Selected Publications Show all 24 publications

What Determines Forecasters' Forecasting Errors
Nolte, I., Nolte, S., Pohlmeier, W. 10/07/2018 In: International Journal of Forecasting.
Journal article

Asymptotic Theory for Renewal Based High-Frequency Volatility Estimation
Li, Y., Nolte, I., Nolte, S. 17/01/2018 SSRN Working Paper
Working paper

High-frequency volatility estimation and the relative importance of market microstructure variables
Li, Y., Nolte, I., Nolte, S. 25/09/2015 , 50 p.
Working paper

High-frequency volatility modelling: a Markov-switching autoregressive conditional intensity model
Li, Y., Nolte, I., Nolte, S. 27/05/2016 , 46 p.
Working paper

More accurate volatility estimation and forecasts using price durations
Zhao, X., Taylor, S.J., Nolte, I. 2016 , 41 p.
Working paper

Disagreement versus uncertainty: evidence from distribution forecasts
Krueger, F., Nolte, I. 11/2016 In: Journal of Banking and Finance. 72, Suppl., p. 172-186. 15 p.
Journal article

The information content of retail investors' order flow
Nolte, I., Nolte, S. 2016 In: European Journal of Finance. 22, 2, p. 80-104. 25 p.
Journal article

The economic value of volatility timing with realized jumps
Nolte, I., Xu, Q. 12/2015 In: Journal of Empirical Finance. 34, p. 45-59. 15 p.
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

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

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

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

Organizer, Conference on Frontiers of Factor Investing
Participation in conference

Organizer, 1st Lancaster-Warwick (LaWa) Workshop on Financial Econometrics & Market Microstructure
Participation in workshop, seminar, course

Organizer, 3rd Konstanz-Lancaster (KoLa) Workshop on Finance and Econometrics
Participation in workshop, seminar, course

School of Management, Cranfield University
Visiting an external academic institution

Organizer, Financial Econometrics and Empirical Asset Pricing Conference
Participation in conference

Seminar, Bank of England
Public Lecture/ Debate/Seminar

ESRC (External organisation)
Membership of committee

The Leverhulme Trust (External organisation)
Membership of committee

Warwick Business School
Visiting an external academic institution

ESRC - North West Social Science Doctoral Training Partnership (External organisation)
Member of an organisation

ESRC Peer College Review (External organisation)
Membership of committee

ESRC (External organisation)
Membership of committee

Organizer, ESRC NWDTC Accounting and Finance Pathway Workshop on Job Market and Employment Skills
Participation in workshop, seminar, course

Manchester Business School
Visiting an external academic institution

Organizer, 1st Konstanz-Lancaster (KoLa) Workshop on Finance and Econometrics
Participation in workshop, seminar, course

Organizer, IFABS 2013 5th International Conference
Participation in conference

Journal of Banking and Finance (Journal)
Editorial activity

ESRC - North West Doctoral Training Centre (External organisation)
Member of an organisation

Organizer, Frontiers of Finance 2012
Participation in conference

Portuguese Foundation for Science and Technology (FCT) (External organisation)
Membership of committee

Organizer, Recent Advances in Finance - Workshop Week
Participation in workshop, seminar, course

European Journal of Finance (Journal)
Editorial activity

Organizer, Individual Decision Making, High Frequency Econometrics and Limit Order Book Dynamics
Participation in conference

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy

+44 (0)7707 013401

+44 (0)7475 647481
  • Asset Pricing and Financial Econometrics
  • Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy