Yuta Koike

Associate Professor

Graduate School of Mathematical Sciences, University of Tokyo

Contact Information

Graduate School of Mathematical Sciences, University of Tokyo.
3-8-1 Komaba, Meguro-ku, Tokyo 153-8914, Japan
E-mail : kyuta (at) ms.u-tokyo.ac.jp

Fields of Interest

Asymptotic statistics, Financial econometrics, High Frequency Data, Mathematical statistics, Statistics for stochastic processes.

Education

• Apr. 2006-Mar. 2010: Department of Mathematics, Tokyo Institute of Technology, Japan [Bachelor (Science), 2010]
• Apr. 2010-Mar. 2012: Master course of Graduate School of Mathematical Sciences, University of Tokyo, Japan [Master (Mathematical Science), 2012]
  Master Thesis: ​ An estimator for the cumulative co-volatility of nonsynchronously observed semimartingales with jumps
• Apr. 2012-Jul. 2014: Doctoral course of Graduate School of Mathematical Sciences, University of Tokyo, Japan (withdrawal for getting a job at The Institute of Statistical Mathematics)
• Apr. 2015: Ph.D. (Mathematical Science; Doctorate by way of Dissertation), Graduate School of Mathematical Sciences, University of Tokyo, Japan
  Dissertation: ​ Covariance estimation from ultra-high-frequency data

Work experiences

• Aug. 2014-Jul. 2015: Project Researcher at Risk Analysis Research Center, The Institute of Statistical Mathematics
• Aug. 2015-Mar. 2016: Project Assistant Professor at Risk Analysis Research Center, The Institute of Statistical Mathematics
• Apr. 2016-Oct. 2017: Assistant Professor at Department of Business Administration, Graduate School of Social Sciences, Tokyo Metropolitan University
• Nov. 2017-present: Associate Professor at Graduate School of Mathematical Sciences, University of Tokyo

Published papers

1. Wavelet-based methods for high-frequency lead-lag analysis (with T. Hayashi). To appear in SIAM Journal on Financial Mathematics. arXiv:1612.01232
2. Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data. To appear in Annals of Statistics. arXiv:1709.00353
3. Asymptotic properties of the realized skewness and related statistics (with Z. Liu). To appear in Annals of the Institute of Statistical Mathematics. arXiv:1612.08526
4. On the asymptotic structure of Brownian motions with a small lead-lag effect. Journal of the Japan Statistical Society, 47 (2017), no.2, 1-31.
5. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. Statistical Inference for Stochastic Processes, 20 (2017), no.1, pp 15–56.
6. Realized volatility and related topics (in Japanese). Journal of Business and Institutions, 15 (2017), pp 15–42.
7. Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise. Bernoulli, 22 (2016), no.3, pp 1894–1936.
8. Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps. Econometric theory, 32 (2016), no.3, pp 533–611.
9. Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling. Stochastic Processes and their Applications, 124 (2014), no.8, pp 2699–2753.
10. An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps. Scandinavian Journal of Statistics, 41 (2014), no.2, pp 460-481.
11. The YUIMA project: A computational framework for simulation and inference of stochastic differential equations (with A. Brouste, M. Fukasawa, H. Hino, S. Iacus, H. ​Masuda, R. Nomura, T. Ogihara, Y. Shimizu, M. Uchida, N. Yoshida). Journal of Statistical Software, 57 (2014), no.4, pp 1-51.

Working papers

1. Inference for time-varying lead-lag relationships from ultra high frequency data. SSRN
2. Multi-scale analysis of lead-lag relationships in high-frequency financial markets (with T. Hayashi). arXiv:1708.03992
3. Oracle inequalities for sign constrained generalized linear models (with Y. Tanoue). arXiv:1711.03342
4. No arbitrage and lead-lag relationships (with T. Hayashi). arXiv:1712.09854
5. Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance. arXiv:1806.05077

Other unpublished manuscripts

1. Central limit theorems for pre-averaging covariance estimators under endogenous sampling times. arXiv:1305.1229
   (This is a preliminary version of "Time endogeneity and an optimal weight function in pre-averaging covariance estimation")
2. Higher order realized power variations of semi-martingales with applications (with Z. Liu). SSRN
   (This is a preliminary version of "Asymptotic properties of the realized skewness and related statistics")

Seminars and conferences

• Oct. 4, 2018 : CEQURA Conference 2018 on Advances in Financial and Insurance Risk Management, Katholische Akademie in Bayern, Munich, Germany.
• July 17, 2018 : 10th World Congress of the Bachelier Finance Society (Bachelier 2018), Trinity College Dublin, Dublin, Ireland.
• June 29, 2018 : The 5th Institute of Mathematical Statistics Asia Pacific Rim Meeting (IMS-APRM 2018), National University of Singapole, Singapole.
• June 19, 2018 : The 2nd International Conference on Econometrics and Statistics (EcoSta 2018), City University of Hong Kong, Hong Kong, China.
• Mar. 27, 2018 : Computational Aspects of Simulation and Inference for Stochastic Processes and the YUIMA Project, University of Milan, Milan, Italy.
• Mar. 3, 2018 : 2018 Kagawa International Symposium "Recent Developments in Statistics and Econometrics", Kagawa University, Kagawa, Japan.
• Feb. 5, 2018 : ASC2018 : Asymptotic Statistics and Computations, The University of Tokyo, Tokyo, Japan.

Others