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-dimensional statistics, 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
Adaptive deep learning for nonparametric time series regression (with D. Kurisu, R. Fukami). To appear in Bernoulli. arXiv:2207.02546
Sharp high-dimensional central limit theorems for log-concave distributions (with X. Fang). To appear in Annales de l'Institut Henri Poincaré, Probabilités et Statistiques. arXiv:2207.14536
Covariance estimation and quasi-likelihood analysis (with N. Yoshida). In: J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio and B. Sanhaji, eds., Financial mathematics, volatility and covariance modelling, vol. 2. (2019), chap. 12. Routledge, pp 308-335.
Multi-scale analysis of lead-lag relationships in high-frequency financial markets (with T. Hayashi). arXiv:1708.03992
High-dimensional central limit theorems by Stein's method in the degenerate case (with X. Fang, S.-H. Liu, Y.-K. Zhao). arXiv:2305.17365
Spectral norm bounds for high-dimensional realized covariance matrices and application to weak factor models. arXiv:2310.06073
High-dimensional bootstrap and asymptotic expansion. arXiv:2404.05006
Other unpublished manuscripts
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")
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")
Presentations at seminars/conferences
Currently only after 2018
Feb. 7, 2024 : Stochastic Analysis and Statistics 2024, University of Tokyo, Tokyo, Japan (hybrid).
Dec. 16, 2023 : 16th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2023), HTW Berlin, University of Applied Sciences, Berlin, Germany (hybrid).
July 27, 2023 : 43rd Conference on Stochastic Processes and their Applications (SPA 2023), University of Lisbon, Lisbon, Portugal.
July 8, 2023 : The 12th ICSA International Conference, Chinese University of Hong Kong, Hong Kong, China.
Mar. 31, 2023 : Workshop on Mathematical Statistics in the Information Age, University of Freiburg, Freiburg, Germany.
Dec. 17, 2022 : 15th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2022), King's College London, London, UK (hybrid).
July 20, 2021 : Bernoulli-IMS 10th World Congress in Probability and Statistics, online.
June 25, 2021 : The 4th International Conference on Econometrics and Statistics (EcoSta 2021), online.
Dec. 1, 2020 : The LiU Seminar Series in Statistics and Mathematical Statistics, online.
Sep. 25, 2020 : CEQURA Conference 2020 on Advances in Financial and Insurance Risk Management, online.
Dec. 22, 2019 : The 11th ICSA International Conference, Hangzhou Dragon Hotel, Hangzhou, China.
Dec. 16, 2019 : 12th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2019), University of London, London, UK.
Aug. 21, 2019 : The 62nd ISI World Statistics Congress 2019, Kuala Lumpur Convention Centre, Kuala Lumpur, Malaysia.
July 25, 2019 : The 32nd European Meeting of Statisticians, University of Palermo, Palermo, Italy.
July 17, 2019 : The 3rd KAFE-JAFEE International Conference on Financial Engineering, Busan International Finance Center, Busan, Korea.
June 27, 2019 : The Third YUIMA Conference, Università di Padova, Brixen-Bressanone, Italy.
Mar. 25, 2019 : The Second YUIMA Conference, SAPIENZA University of Rome, Rome, Italy.
Jan. 30, 2019 : ASC2019 : Asymptotic Statistics and Computations, The University of Tokyo, Tokyo, Japan.
Jan. 29, 2019 : 4th Yuima Users Workshop, The University of Tokyo, Tokyo, Japan.
Dec. 15, 2018 : 11th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2018), University of Pisa, Pisa, Italy.
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.