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.

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

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

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

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.
Journal article

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.
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

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.
Journal article

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.
Journal article