Dr Sandra Nolte


Research Overview

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

My research interests lie in the areas of empirical finance, applied econometrics and behavioral finance. I focus on the analysis of individual trading behaviour, the relationship between order flows and price changes, and the information content of high-frequency sentiment indicators. I am also interested in the analysis of qualitative survey data applied to problems of nonlinear forecasting methods in the presence of misclassification, the learning behaviour of individual forecasters, their degree of rationality and their reaction to news sentiment.

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

Dimensions and location of high-involvement management: fresh evidence from the UK Commission's 2011 Employer Skills Survey
Wood, S., Nolte, S., Burridge, M., Rudloff, D., Green, W. 04/2015 In: Human Resource Management Journal. 25, 2, p. 166-183. 18 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

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.

High Performance Working in the Employer Skills Surveys: Evidence Report 71
Wood, S., Burridge, M., Green, W., Nolte, S., Rudloff, D., Ni Luanaigh, A. 07/2013 In: High Performance Working in the Employer Skills Surveys. p. 1-86. 86 p. ISBN: 978-1-908418-50-0.

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

Measurement error in nonlinear models: an application to disclosure limitation techniques
Nolte, S. 2010 Berlin : Lit Verlag. 149 p. ISBN: 978-3643900463.

Make assurance double sure: combination of two disclosure limitation methods and estimation of general regression models
Nolte, S., Flossmann, A. 12/2008 In: AStA Advances in Statistical Analysis. 92, 4, p. 405-422. 18 p.
Journal article

Perturbation by multiplicative noise and the Simulation Extrapolation method
Biewen, E., Nolte, S., Rosemann, M. 12/2008 In: AStA Advances in Statistical Analysis. 92, 4, p. 375-389. 15 p.
Journal article