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. New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems (with X. Fang). To appear in Annals of Applied Probability. arXiv:2004.02101
2. High-dimensional central limit theorems by Stein’s method (with X. Fang). Annals of Applied Probability, 31 (2021), no. 4, pp 1660-1686. arXiv:2001.10917
3. Inference for time-varying lead-lag relationships from ultra high frequency data. Japanese Journal of Statistics and Data Science, 4 (2021), no. 1, pp 643–696. SSRN
4. Notes on the dimension dependence in high-dimensional central limit theorems for hyperrectangles. Japanese Journal of Statistics and Data Science, 4 (2021), no. 1, pp 257–297. arXiv:1911.00160
5. De-biased graphical Lasso for high-frequency data. Entropy, 22 (2020), no. 4, 456. arXiv:1905.01494
6. No arbitrage and lead-lag relationships (with T. Hayashi). Statistics and Probability Letters, 154 (2019), 108530. arXiv:1712.09854
7. Asymptotic properties of the realized skewness and related statistics (with Z. Liu). Annals of the Institute of Statistical Mathematics, 71 (2019), no. 4, pp 703-741.
8. 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., chap. 12. Routledge, pp 308-335.
9. Oracle inequalities for sign constrained generalized linear models (with Y. Tanoue). Econometrics and Statistics, 11 (2019), pp 145-157. arXiv:1711.03342
10. Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance. Electronic Journal of Statistics, 13 (2019), no.1, pp 1443-1522. arXiv:1806.05077
11. Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data. Annals of Statistics, 47 (2019), no.3, pp 1663-1687. arXiv:1709.00353
12. Wavelet-based methods for high-frequency lead-lag analysis (with T. Hayashi). SIAM Journal on Financial Mathematics, 9 (2018), no.4, pp 1208-1248.
13. On the asymptotic structure of Brownian motions with a small lead-lag effect. Journal of the Japan Statistical Society, 47 (2017), no.2, pp 1-31.
14. Time endogeneity and an optimal weight function in pre-averaging covariance estimation. Statistical Inference for Stochastic Processes, 20 (2017), no.1, pp 15–56.
15. Realized volatility and related topics (in Japanese). Journal of Business and Institutions, 15 (2017), pp 15–42.
16. Quadratic covariation estimation of an irregularly observed semimartingale with jumps and noise. Bernoulli, 22 (2016), no.3, pp 1894–1936.
17. Estimation of integrated covariances in the simultaneous presence of nonsynchronicity, microstructure noise and jumps. Econometric theory, 32 (2016), no.3, pp 533–611.
18. Limit theorems for the pre-averaged Hayashi-Yoshida estimator with random sampling. Stochastic Processes and their Applications, 124 (2014), no.8, pp 2699–2753.
19. An estimator for the cumulative co-volatility of asynchronously observed semimartingales with jumps. Scandinavian Journal of Statistics, 41 (2014), no.2, pp 460-481.
20. 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. Multi-scale analysis of lead-lag relationships in high-frequency financial markets (with T. Hayashi). arXiv:1708.03992
2. High-dimensional central limit theorems for homogeneous sums. arXiv:1902.03809
3. Improved central limit theorem and bootstrap approximation in high dimensions (with V. Chernozhukov, D. Chetverikov, K. Kato). arXiv:1912.10529
4. Large-dimensional central limit theorem with fourth-moment error bounds on convex sets and balls (with X. Fang). arXiv:2009.00339
5. Nearly optimal central limit theorem and bootstrap approximations in high dimensions (with V. Chernozhukov, D. Chetverikov). arXiv:2012.09513

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")

Presentations at seminars/conferences

• 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.

Teaching

• Introduction to Statistical Data Analysis II (Spring semester at U. of Tokyo, twice a week)
• Probability and Statistics XC (Spring semester at U. of Tokyo)
• Statistics (May - July at UTokyo Extension)

• Introduction to Statistical Data Analysis II (Spring semester at U. of Tokyo, twice a week)
• Statistics (June - July at UTokyo Extension)
• Statistics (August - October at UTokyo Extension)
• Statistics (October - December at UTokyo Extension)
• Introduction to Normal Approximation by Stein's Method (October - December at Tokyo Metropolitan U.)
• Introduction to Statistical Data Analysis I (Autumn semester at U. of Tokyo, twice a week)

• Introduction to Statistical Data Analysis II (Spring semester at U. of Tokyo, twice a week)
• Probability Theory I (Spring semester at U. of Tokyo) Lecture note (in Japanese)
• Introduction to Programming (Spring 1st half semester at Tokyo Metropolitan U.)
• Statistics (August - October at UTokyo Extension)
• Numerical Methods in Finance (Autumn 1st half semester at Tokyo Metropolitan U.)
• Statistics (October - December at UTokyo Extension)
• Introduction to Statistical Data Analysis I (Autumn semester at U. of Tokyo, twice a week)

• Introduction to Statistical Data Analysis II (Spring semester at U. of Tokyo, twice a week)
• Financial Data Science Exercises (Spring semester at Tokyo Metropolitan U.)
• Introduction to Statistical Data Analysis I (Autumn semester at U. of Tokyo, twice a week)
• Financial Time Series Analysis Exercises (Autumn semester at Tokyo Metropolitan U.)
• Introduction to Statistics (Autumn semester at Seijo U., twice a week)

• Financial Data Science Exercises (Spring semester at Tokyo Metropolitan U.)
• Advanced Stochastic Analysis Exercises (Spring semester at Tokyo Metropolitan U.)
• Introduction to Economic Mathematics I (Spring semester at Aoyama Gakuin U.)
• Introduction to Statistical Data Analysis II (Spring semester at U. of Tokyo)
• Financial Time Series Analysis Exercises (Autumn semester at Tokyo Metropolitan U.)
• Stochastic Analysis Exercises (Autumn semester at Tokyo Metropolitan U.)
• Introduction to Statistical Data Analysis I (Autumn semester at U. of Tokyo, twice a week)
• Introduction to Economic Mathematics II (Autumn semester at Aoyama Gakuin U.)

• Financial Data Science Exercises (Spring semester at Tokyo Metropolitan U.)
• Introduction to Economic Mathematics I (Spring semester at Aoyama Gakuin U.)
• Introduction to Statistics I (Spring semester at Aoyama Gakuin U.)
• Financial Time Series Analysis Exercises (Autumn semester at Tokyo Metropolitan U.)
• Stochastic Analysis Exercises (Autumn semester at Tokyo Metropolitan U.)
• Introduction to Economic Mathematics II (Autumn semester at Aoyama Gakuin U.)
• Introduction to Statistics II (Autumn semester at Aoyama Gakuin U.)

Editorial board

• Asia-Pacific Financial Markets (August 2019-)

Others