Professor Ingmar Nolte

Professor of Finance & Econometrics

Research Overview

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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 18 publications

Disagreement versus uncertainty: evidence from distribution forecasts
Krueger, F., Nolte, I. 20/06/2015 In: Journal of Banking and Finance. 15 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.

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

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