معرفی
Professor Ingmar Nolte serves as Professor of Finance & Econometrics and Director at Lancaster University's Management School within the Accounting and Finance department. His academic career spans decades of research in financial econometrics, asset pricing, and market microstructure, establishing him as a leading scholar in high-frequency financial data analysis.
Professor Nolte's research interests focus on financial econometrics, asset pricing, market microstructure, and forecasting. His work particularly emphasizes the construction of volatility estimators, jump and drift burst detection using high-frequency data, factor investing to improve factor information content, and the market microstructure of option markets. He develops dynamic micro-econometric techniques including discrete choice, count data, and point process models for analyzing complex finance relationships and trading processes.
His recent publications demonstrate consistent focus on high-frequency data applications, with particular emphasis on price durations, volatility modeling, and covariance estimation. The research trajectory shows progression from fundamental volatility estimation techniques to increasingly sophisticated applications in portfolio management, factor investing, and risk-neutral density estimation. His work bridges theoretical econometrics with practical financial applications, particularly in the domain of market microstructure analysis.
Professor Nolte actively supervises postgraduate research, currently advising four students including Marco Cinquetti and Lewei He. His research has appeared in top finance and econometrics journals including Journal of Econometrics, Journal of Financial Econometrics, and Journal of Financial and Quantitative Analysis. He has organized and participated in numerous academic conferences and workshops, including the Lancaster-Manchester-Warwick-Oxford Joint PhD Workshop on Finance and Econometrics.
