Koike Yuta 小池祐太

Researcher Number	80745290
Affiliation (Current)	2025: 東京大学, 大学院数理科学研究科, 准教授
Affiliation (based on the past Project Information) *help	2017 – 2024: 東京大学, 大学院数理科学研究科, 准教授 2016 – 2017: 首都大学東京, 社会科学研究科, 助教
Review Section/Research Field	Principal Investigator Basic Section 60030:Statistical science-related / Basic Section 07030:Economic statistics-related / Economic statistics Except Principal Investigator Basic Section 07030:Economic statistics-related / Basic Section 07080:Business administration-related / Basic Section 12040:Applied mathematics and statistics-related / Foundations of mathematics/Applied mathematics
Keywords	Principal Investigator 高次元データ / 高頻度データ / 漸近展開 / ブートストラップ法 / 共分散行列推定 / スマートベータ / Malliavin解析 / ネットワーク解析 / graphical Lasso / Steinの方法 … More / Cramer型の相対誤差評価 / 高次元中心極限定理 / 行列集中不等式 / ジャンプ / ファクターモデル / 多重検定 / 高次元共分散推定 / リード・ラグ / 経済統計学 / マイクロストラクチャーノイズ / 非同期観測 / 漸近理論 / マーケット・マイクロストラクチャー / リード・ラグ効果 … More Except Principal Investigator 保険数理 / 高頻度データ / 計量ファイナンス / リスク管理 / 統計的機械学習 / デフォルト / 保証 / 担保 / 機械学習的アプローチ / 担保、保証 / ロジットモデル / 機械学習 / 回収率 / LDG / 中小企業金融 / 担保、保証データ / LGD / デフォルト後損失 / 企業財務データ / 信用リスク / 非正規分布 / 統計的漸近理論 / 極限定理 / レヴィノイズ / 確率過程の統計学 / バックテスト / 経済統計学 / 死亡率予測 / 統計的極値理論 / リスク尺度 / コピュラ / 接合関数 / リスク計測 / ジャンプ型確率過程 / 初期到達分布 / ジャンプ型拡散過程 / 確率微分方程式による死亡率予測モデリング / ある点過程の周辺尤度解析とモデル選択 / ウェーブレット解析 / 先行遅行分析 / 初期到達時刻分布 / セミマルチンゲールの期待値汎関数 / 計算統計 / 統計数学 / 流動性 / リード・ラグ関係 / 漸近統計 / ファクターモデル / リード・ラグ分析 / 高次元共分散推定 / 漸近理論 / 確率過程 / 確率微分方程式 / 数理統計学 Less

High-dimensional bootstrap and asymptotic expansionPrincipal Investigator
- Principal Investigator
  
  小池祐太
- Project Period (FY)
  2024 – 2027
- Research Category
  
  Grant-in-Aid for Scientific Research (C)
- Review Section
  
  Basic Section 60030:Statistical science-related
- Research Institution
  The University of Tokyo
Innovative development of statistical and machine learning approach focusing on the evaluation of financial and actuarial risk
- Principal Investigator
  
  塚原英敦
- Project Period (FY)
  2022 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Seijo University
Deepening and developing statistical theory for dependent data based on Levy noise
- Principal Investigator
  
  増田弘毅
- Project Period (FY)
  2022 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 12040:Applied mathematics and statistics-related
- Research Institution
  The University of Tokyo
  Kyushu University
Estimating the repayment capacity of the default company based on the credit information of multiple banks and developing its machine learning method
- Principal Investigator
  
  山下智志
- Project Period (FY)
  2022 – 2025
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07080:Business administration-related
- Research Institution
  The Institute of Statistical Mathematics
Statistical analysis of high-dimensional high-frequency dataPrincipal Investigator
- Principal Investigator
  
  Koike Yuta
- Project Period (FY)
  2019 – 2023
- Research Category
  
  Grant-in-Aid for Early-Career Scientists
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  The University of Tokyo
New developments of statistical methods for risk management in finance and insurance
- Principal Investigator
  
  Tsukahara Hideatsu
- Project Period (FY)
  2018 – 2020
- Research Category
  
  Grant-in-Aid for Scientific Research (B)
- Review Section
  
  Basic Section 07030:Economic statistics-related
- Research Institution
  Seijo University
Interdisciplinary research in mathematical/data science and simulation science for stochastic differential equation models
- Principal Investigator
  
  Uchida Masayuki
- Project Period (FY)
  2017 – 2021
- Research Category
  
  Grant-in-Aid for Scientific Research (A)
- Research Field
  
  Foundations of mathematics/Applied mathematics
- Research Institution
  Osaka University
Statistical analysis of price discovery: a stochastic process approachPrincipal Investigator
- Principal Investigator
  
  Koike Yuta
- Project Period (FY)
  2016 – 2018
- Research Category
  
  Grant-in-Aid for Young Scientists (B)
- Research Field
  
  Economic statistics
- Research Institution
  The University of Tokyo
  Tokyo Metropolitan University

All 2024 2023 2022 2021 2020 2019 2018 2017 2016

All Journal Article Presentation

[Journal Article] Large-dimensional central limit theorem with fourth-moment error bounds on convex sets and balls2024
- Author(s)
  Fang Xiao、Koike Yuta
- Journal Title
  
  The Annals of Applied Probability
  
  Volume: 34 Issue: 2 Pages: 2065-2106
- DOI
  10.1214/23-aap2014
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Journal Article] Drift estimation for a multi-dimensional diffusion process using deep neural networks2024
- Author(s)
  Oga Akihiro、Koike Yuta
- Journal Title
  
  Stochastic Processes and their Applications
  
  Volume: 170 Pages: 104240-104240
- DOI
  10.1016/j.spa.2023.104240
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-23K22410
[Journal Article] Sharp high-dimensional central limit theorems for log-concave distributions2024
- Author(s)
  Xiao Fang, Yuta Koike
- Journal Title
  
  Annales de l'Institut Henri Poincare, Probabilites et Statistiques
  
  Volume: 印刷中
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Journal Article] Sharp high-dimensional central limit theorems for log-concave distributions2023
- Author(s)
  Fang Xiao、Koike Yuta
- Journal Title
  
  Annales de l'Institut Henri Poincare, Probabilites et Statistiques
  
  Volume: －
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22410
[Journal Article] From p-Wasserstein bounds to moderate deviations2023
- Author(s)
  Fang Xiao、Koike Yuta
- Journal Title
  
  Electronic Journal of Probability
  
  Volume: 28 Issue: none Pages: 1-52
- DOI
  10.1214/23-ejp976
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Journal Article] Sharp high-dimensional central limit theorems for log-concave distributions2023
- Author(s)
  Fang Xiao、Koike Yuta
- Journal Title
  
  Annales de l'Institut Henri Poincare, Probabilites et Statistiques
  
  Volume: 2023 Pages: 1-20
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22160
[Journal Article] High-Dimensional Data Bootstrap2023
- Author(s)
  Chernozhukov Victor、Chetverikov Denis、Kato Kengo、Koike Yuta
- Journal Title
  
  Annual Review of Statistics and Its Application
  
  Volume: 10 Issue: 1 Pages: 427-449
- DOI
  10.1146/annurev-statistics-040120-022239
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Journal Article] High-Dimensional Central Limit Theorems for Homogeneous Sums2023
- Author(s)
  Koike Yuta
- Journal Title
  
  Journal of Theoretical Probability
  
  Volume: 36 Issue: 1 Pages: 1-45
- DOI
  10.1007/s10959-022-01156-2
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668, KAKENHI-PROJECT-17H01100
[Journal Article] Sharp high-dimensional central limit theorems for log-concave distributions2023
- Author(s)
  Xiao Fang and Yuta Koike
- Journal Title
  
  Annales de l'Institut Henri Poincare, Probabilies et Statistiques
  
  Volume: -
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22105
[Journal Article] Improved central limit theorem and bootstrap approximations in high dimensions2022
- Author(s)
  Chernozhuokov Victor、Chetverikov Denis、Kato Kengo、Koike Yuta
- Journal Title
  
  The Annals of Statistics
  
  Volume: 50 Issue: 5 Pages: 2562-2586
- DOI
  10.1214/22-aos2193
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Journal Article] New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems2022
- Author(s)
  Xiao Fang，Yuta Koike
- Journal Title
  
  The Annals of Applied Probability
  
  Volume: 32 Issue: 1 Pages: 602-631
- DOI
  10.1214/21-aap1690
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836, KAKENHI-PROJECT-19K13668, KAKENHI-PROJECT-17H01100
[Journal Article] Inference for time-varying lead-lag relationships from ultra-high-frequency data2021
- Author(s)
  Yuta Koike
- Journal Title
  
  Japanese Journal of Statistics and Data Science
  
  Volume: 印刷中 Issue: 1 Pages: 643-696
- DOI
  10.1007/s42081-021-00106-2
- NAID
  210000166878
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K13668, KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-18H00836
[Journal Article] High-dimensional central limit theorems by Stein’s method2021
- Author(s)
  Fang Xiao、Koike Yuta
- Journal Title
  
  The Annals of Applied Probability
  
  Volume: 31 Issue: 4 Pages: 1660-1686
- DOI
  10.1214/20-aap1629
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-18H00836, KAKENHI-PROJECT-19K13668
[Journal Article] High-dimensional central limit theorems by Stein's method2021
- Author(s)
  Xiao Fang, Yuta Koike
- Journal Title
  
  Annals of Applied Probability
  
  Volume: 印刷中
- Peer Reviewed / Open Access / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Journal Article] De-biased graphical Lasso for high-frequency data2020
- Author(s)
  Yuta Koike
- Journal Title
  
  Entropy
  
  Volume: 22 Issue: 4 Pages: 456-456
- DOI
  10.3390/e22040456
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K13668, KAKENHI-PROJECT-17H01100
[Journal Article] Notes on the dimension dependence in high-dimensional central limit theorems for hyperrectangles2020
- Author(s)
  Koike Yuta
- Journal Title
  
  Japanese Journal of Statistics and Data Science
  
  Volume: 4 Issue: 1 Pages: 257-297
- DOI
  10.1007/s42081-020-00096-7
- NAID
  210000171390
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-19K13668
[Journal Article] Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance2019
- Author(s)
  Yuta Koike
- Journal Title
  
  Electronic Journal of Statistics
  
  Volume: 13 Issue: 1 Pages: 1443-1522
- DOI
  10.1214/19-ejs1553
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K17105, KAKENHI-PROJECT-18H00836
[Journal Article] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2019
- Author(s)
  Yuta Koike
- Journal Title
  
  Annals of Statistics
  
  Volume: 4 Issue: 3 Pages: 1663-1687
- DOI
  10.1214/18-aos1731
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K17105
[Journal Article] No arbitrage and lead-lag relationships2019
- Author(s)
  Takaki Hayashi and Yuta Koike
- Journal Title
  
  Statistics and Probability Letters
  
  Volume: 154 Pages: 1-11
- DOI
  10.1016/j.spl.2019.06.006
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K03601
[Journal Article] Wavelet-based methods for high-frequency lead-lag analysis2018
- Author(s)
  Takaki Hayashi and Yuta Koike
- Journal Title
  
  SIAM Journal on Financial Mathematics
  
  Volume: 9 Pages: 1208-1248
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-17H01100
[Journal Article] Asymptotic properties of the realized skewness and related statistics2018
- Author(s)
  Koike Yuta、Liu Zhi
- Journal Title
  
  Annals of the Institute of Statistical Mathematics
  
  Volume: 印刷中 Issue: 4 Pages: 703-741
- DOI
  10.1007/s10463-018-0659-8
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105, KAKENHI-PROJECT-17H01100
[Presentation] Estimation of the number of relevant factors from high-frequency data2024
- Author(s)
  小池祐太
- Organizer
  2023年度関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] Estimation of the number of relevant factors from high-frequency data2024
- Author(s)
  Yuta Koike
- Organizer
  Stochastic Analysis and Statistics 2024
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Estimation of the number of relevant factors from high-frequency data2024
- Author(s)
  Yuta Koike
- Organizer
  Stochastic Analysis and Statistics 2024
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] Estimation of the number of relevant factors from high-frequency data2024
- Author(s)
  小池祐太
- Organizer
  2023年度関西計量経済学研究会
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] アマゾンウェブサービスとDaily TAQデータ2023
- Author(s)
  小池祐太
- Organizer
  探索的ビッグデータ解析と再現可能研究 (WS-EBDA-RR-2023)
- Invited
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] Estimation of the number of relevant factors from high-frequency data2023
- Author(s)
  Yuta Koike
- Organizer
  CMStatistics 2023
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] Estimation of the number of relevant factors from high-frequency data2023
- Author(s)
  小池祐太
- Organizer
  データサイエンスにおける統計的理論・方法論の新展開
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] Bootstrap test for multi-scale lead-lag relationships in high-frequency data2023
- Author(s)
  Yuta Koike
- Organizer
  The 12th ICSA International Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] アマゾンウェブサービスとDaily TAQデータ2023
- Author(s)
  小池祐太
- Organizer
  探索的ビッグデータ解析と再現可能研究 (WS-EBDA-RR-2023)
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] High-dimensional bootstrap and asymptotic expansion: A first attempt2023
- Author(s)
  Koike Yuta
- Organizer
  Workshop on Mathematical Statistics in the Information Age
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] アマゾンウェブサービスとDaily TAQデータ2023
- Author(s)
  小池祐太
- Organizer
  探索的ビッグデータ解析と再現可能研究 (WS-EBDA-RR-2023)
- Invited
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] Bootstrap test for multi-scale lead-lag relationships in high-frequency data2023
- Author(s)
  Yuta Koike
- Organizer
  The 12th ICSA International Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] 対数凹な独立同分布確率ベクトルの和に対する高次元中心極限定理2023
- Author(s)
  小池祐太
- Organizer
  日本数学会2023年度年会
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Estimation of the number of relevant factors from high-frequency data2023
- Author(s)
  Yuta Koike
- Organizer
  16th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] From p-Wasserstein bounds to moderate deviations2023
- Author(s)
  Yuta Koike
- Organizer
  43rd Conference on Stochastic Processes and their Applications (SPA 2023)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Estimation of the number of relevant factors from high-frequency data2023
- Author(s)
  小池祐太
- Organizer
  データサイエンスにおける統計的理論・方法論の新展開
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Estimation of the number of relevant factors from high-frequency data2023
- Author(s)
  Yuta Koike
- Organizer
  16th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2023)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Central limit theorems in high-dimensions: Recent developments. Risk and Statistics2022
- Author(s)
  Koike Yuta
- Organizer
  3rd Tohoku-ISM-UUlm Joint Workshop
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] 高次元データに対する正規近似理論2022
- Author(s)
  小池祐太
- Organizer
  第25回情報論的学習理論ワークショップ(IBIS2022)
- Invited
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2022
- Author(s)
  Yuta Koike
- Organizer
  The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] ティックデータのフィルタリング: Daily TAQ データを例にして2022
- Author(s)
  小池祐太
- Organizer
  探索的ビッグデータ解析と再現可能研究 (WS-EBDA-RR-2022)
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] High-dimensional CLT with general covariance structure2022
- Author(s)
  Koike Yuta
- Organizer
  CMStatistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] 高次元データに対する正規近似理論2022
- Author(s)
  小池祐太
- Organizer
  第25回情報論的学習理論ワークショップ(IBIS2022)
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] ティックデータのフィルタリング: Daily TAQデータを例にして2022
- Author(s)
  小池祐太
- Organizer
  探索的ビッグデータ解析と再現可能研究(WS-EBDA-RR-2022)
- Invited
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] 高次元データに対する正規近似: 最近の進展2022
- Author(s)
  小池祐太
- Organizer
  多様な高次元モデルの理論と方法論: 最前線の動向
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] 実現共分散行列の高次元漸近混合正規性2022
- Author(s)
  小池祐太
- Organizer
  日本数学会2022年度年会
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] 金融高頻度データにおける先行遅行関係2022
- Author(s)
  小池祐太
- Organizer
  統計数理研究所リスク解析戦略研究センターシンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-23K22160
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2022
- Author(s)
  Koike, Yuta
- Organizer
  The 5th International Conference on Econometrics and Statistics (EcoSta 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-23K22105
[Presentation] 高次元データに対する正規近似: 最近の進展2022
- Author(s)
  小池祐太
- Organizer
  多様な高次元モデルの理論と方法論: 最前線の動向
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高次元中心極限定理の誤差評価に関する最近の進展2022
- Author(s)
  小池祐太
- Organizer
  大阪大学確率論セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Did the introduction of ETF Market Making Incentive Scheme affect lead-lag relationships in the Tokyo Stock Exchange?2022
- Author(s)
  Yuta Koike
- Organizer
  33rd (EC)^2 Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Central limit theorems in high-dimensions: Recent developments2022
- Author(s)
  Yuta Koike
- Organizer
  Risk and Statistics, 3rd Tohoku-ISM-UUlm Joint Workshop
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] High-dimensional CLT with general covariance structure2022
- Author(s)
  Yuta Koike
- Organizer
  15th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2022)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] 高次元中心極限定理の誤差評価に関する最近の進展2022
- Author(s)
  小池祐太
- Organizer
  大阪大学確率論セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-23K22410
[Presentation] 金融高頻度データにおける先行遅行関係2022
- Author(s)
  小池祐太
- Organizer
  統計数理研究所リスク解析戦略研究センターシンポジウム
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] YUIMA と機械学習2021
- Author(s)
  小池祐太
- Organizer
  第5 回YUIMA ユーザー会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 深層ニューラルネットワークによる多次元拡散過程のドリフト推定2021
- Author(s)
  小池祐太
- Organizer
  確率過程の統計推測の最近の展開2021
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高頻度金融市場における多重先行遅行関係のウェーブレット解析2021
- Author(s)
  林高樹，小池祐太
- Organizer
  2021年度統計数理セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 深層ニューラルネットワークによる多次元拡散過程のドリフト推定2021
- Author(s)
  小池祐太
- Organizer
  大阪大学数理・データ科学セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] De-biased graphical Lasso for high-frequency data2021
- Author(s)
  小池祐太
- Organizer
  統計数理研究所リスク解析戦略研究センター第 8 回金融シンポジウム「金融が直面する新環境への対応と方法論 III」
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Central limit theorems in high-dimensions: Recent developments2021
- Author(s)
  Yuta Koike
- Organizer
  15th International Conference on Computational and Financial Econometrics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] 東京証券取引所におけるETFマーケットメイク制度導入の先行遅行関係への影響分析2021
- Author(s)
  林高樹，小池祐太
- Organizer
  2021年度冬季JAFEE大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] De-biased graphical Lasso for high-frequency data2021
- Author(s)
  小池祐太
- Organizer
  統計数理研究所リスク解析戦略研究センター第8 回金融シンポジウム「金融が直面する新環境への対応と方法論III」
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Drift estimation for a multi-dimensional diffusion process using deep neural networks2021
- Author(s)
  Akihiro Oga, Yuta Koike
- Organizer
  The 4th International Conference on Econometrics and Statistics (EcoSta 2021)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Gaussian approximation to high-dimensional Wishart matrices under a moment assumption2021
- Author(s)
  Xiao Fang, Yuta Koike
- Organizer
  日本数学会2021年度秋季総合分科会
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Bootstrap test for multi-scale lead-lag relationships in high-frequency data2021
- Author(s)
  Takaki Hayashi，Yuta Koike
- Organizer
  Bernoulli-IMS 10th World Congress in Probability and Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Global jump filter に基づくボラティリティ推定法の実装2021
- Author(s)
  小池祐太
- Organizer
  第6 回YUIMA ユーザー会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Homogeneous sumに対する高次元中心極限定理2021
- Author(s)
  小池祐太
- Organizer
  日本数学会2021年度年会
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Homogeneous sum に対する高次元中心極限定理2021
- Author(s)
  小池祐太
- Organizer
  日本数学会2021 年度年会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Gaussian approximation to high-dimensional Wishart matrices under a moment assumption2021
- Author(s)
  Xiao Fang, Yuta Koike
- Organizer
  日本数学会2020 年度秋季総合分科会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Drift estimation for a multi-dimensional diffusion process using deep neural networks2021
- Author(s)
  Akihiro Oga, Yuta Koike
- Organizer
  The 4th International Conference on Econometrics and Statistics
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Gaussian approximation for high-dimensional data: Recent progress2021
- Author(s)
  Yuta Koike
- Organizer
  Maths & Stats Colloquium Series
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Gaussian approximation for high-dimensional data: Recent progress2021
- Author(s)
  Yuta Koike
- Organizer
  Maths & Stats Colloquium Series
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Central limit theorems in high-dimensions: Recent developments2021
- Author(s)
  Yuta Koike
- Organizer
  15th International Conference on Computational and Financial Econometrics (CFE 2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Drift estimation for a multi-dimensional diffusion process using deep neural networks2021
- Author(s)
  Akihiro Oga, Yuta Koike
- Organizer
  The 4th International Conference on Econometrics and Statistics (EcoSta 2021)
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Central limit theorems in high-dimensions: Recent developments2021
- Author(s)
  Yuta Koike
- Organizer
  15th International Conference on Computational and Financial Econometrics (CFE 2021)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 確率微分方程式モデルにおける高次元共分散行列推定2021
- Author(s)
  小池祐太
- Organizer
  2021 年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Multi-Scale Analysis of Lead-Lag Relationships in High-Frequency Financial Markets2020
- Author(s)
  Yuta Koike
- Organizer
  The LiU Seminar Series in Statistics and Mathematical Statistics
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] YUIMA におけるリード・ラグ解析の最近の展開2020
- Author(s)
  小池祐太
- Organizer
  2020 年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高次元中心極限定理の最近の展開2020
- Author(s)
  小池祐太
- Organizer
  日本数学会2020年度秋季総合分科会
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] 高次元中心極限定理の最近の展開2020
- Author(s)
  小池祐太
- Organizer
  日本数学会2020 年度秋季総合分科会
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Multi-Scale Analysis of Lead-Lag Relationships in High-Frequency Financial Markets2020
- Author(s)
  Yuta Koike
- Organizer
  11th CEQURA Conference 2020 on Advances in Financial and Insurance Risk Management
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Multi-Scale Analysis of Lead-Lag Relationships in High-Frequency Financial Markets2020
- Author(s)
  Yuta Koike
- Organizer
  11th CEQURA Conference 2020 on Advances in Financial and Insurance Risk Management
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 62nd ISI World Statistics Congress 2019 (ISI-WSC 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 3rd KAFE-JAFEE International Conference on Financial Engineering
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] De-biased graphical Lasso for high-frequency data2019
- Author(s)
  Yuta Koike
- Organizer
  CMStatistics 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 3rd KAFE-JAFEE International Conference on Financial Engineering
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] De-biased graphical Lasso for high-frequency data2019
- Author(s)
  Yuta Koike
- Organizer
  CMStatistics 2019
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高次元共分散行列推定に基づく最小分散ポートフォリオのパフォーマンス比較2019
- Author(s)
  小池祐太
- Organizer
  科研費計量ファイナンス研究集会
- Invited
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] De-biased graphical Lasso for high-frequency data2019
- Author(s)
  Yuta Koike
- Organizer
  12th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] De-biasing the graphical Lasso in high-frequency data2019
- Author(s)
  Yuta Koike
- Organizer
  ASC 2018: Asymptotic Statistics and Computations
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 62nd ISI World Statistics Congress 2019 (ISI-WSC 2019)
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] 高頻度データにおける高次元共分散行列の統計推測2019
- Author(s)
  小池祐太
- Organizer
  データサイエンス・福島キャンプ2019
- Invited
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 11th ICSA International Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 11th ICSA International Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] De-biasing the graphical Lasso in high-frequency data2019
- Author(s)
  Yuta Koike
- Organizer
  ASC 2018: Asymptotic Statistics and Computations
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 11th ICSA International Conference
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] On implementation of high-dimensional covariance estimation in YUIMA package2019
- Author(s)
  Yuta Koike
- Organizer
  4th Yuima Users Workshop
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] High-dimensional covariance estimation in YUIMA package2019
- Author(s)
  Yuta Koike
- Organizer
  The 2nd YUIMA Conference
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高頻度データにおける高次元共分散行列の統計推測2019
- Author(s)
  小池祐太
- Organizer
  データサイエンス・福島キャンプ2019
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  The 3rd KAFE-JAFEE International Conference on Financial Engineering
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-19K13668
[Presentation] 高次元共分散行列推定に基づく最小分散ポートフォリオのパフォーマンス比較2019
- Author(s)
  小池祐太
- Organizer
  科研費計量ファイナンス研究集会
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019
- Author(s)
  Yuta Koike
- Organizer
  62nd ISI World Statistics Congress
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] 高次元高頻度データを用いた最小分散ポートフォリオの推定2018
- Author(s)
  小池祐太
- Organizer
  統計数理研究所リスク解析戦略研究センター第6回金融シンポジウム「金融が直面する新環境への対応と方法論」
- Invited
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2018
- Author(s)
  小池祐太
- Organizer
  2018 年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018
- Author(s)
  Yuta Koike
- Organizer
  2018 Kagawa International Symposium “Recent Developments in Statistics and Econometrics”
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2018
- Author(s)
  Yuta Koike
- Organizer
  IMS-APRM 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018
- Author(s)
  Yuta Koike
- Organizer
  CEQURA Conference 2018 on Advances in Financial and Insurance Risk Management
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018
- Author(s)
  Yuta Koike
- Organizer
  10th World Congress of the Bachelier Finance Society
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018
- Author(s)
  Yuta Koike
- Organizer
  CMStatistics 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018
- Author(s)
  小池祐太
- Organizer
  2018 年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2018」
- Invited
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Testing the absence of lead-lag effects in high-frequency data2018
- Author(s)
  Yuta Koike
- Organizer
  EcoSta 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Multi-scale analysis of lead-lag relationships in high-frequency financial markets2018
- Author(s)
  Yuta Koike
- Organizer
  ASC 2018: Asymptotic Statistics and Computations
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018
- Author(s)
  Yuta Koike
- Organizer
  10th World Congress of the Bachelier Finance Society
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Lead-lag Analysis in YUIMA package2018
- Author(s)
  Yuta Koike
- Organizer
  Computational Aspects of Simulation and Inference for Stochastic Processes and the YUIMA Project
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2018
- Author(s)
  小池祐太
- Organizer
  2018 年度統計関連学会連合大会
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Testing the absence of lead-lag effects in high-frequency data2018
- Author(s)
  Yuta Koike
- Organizer
  EcoSta 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高次元高頻度データを用いた最小分散ポートフォリオの推定2018
- Author(s)
  小池祐太
- Organizer
  統計数理研究所リスク解析戦略研究センター第6 回金融シンポジウム「金融が直面する新環境への対応と方法論」
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高次元高頻度データにおける共分散行列の統計推測2018
- Author(s)
  小池祐太
- Organizer
  第六回数理ファイナンス合宿型セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Testing the absence of lead-lag effects in high-frequency data2018
- Author(s)
  Yuta Koike
- Organizer
  EcoSta 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018
- Author(s)
  Yuta Koike
- Organizer
  11th International Conference of the ERCIM WG on CMStatistics 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Testing the residual sparsity of a high-dimensional continuous-time factor model2018
- Author(s)
  Yuta Koike
- Organizer
  CEQURA Conference 2018
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018
- Author(s)
  小池祐太
- Organizer
  2018年度中之島ワークショップ
- Invited
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] 高頻度金融市場におけるリード・ラグ関係の多時間スケール解析2018
- Author(s)
  小池祐太
- Organizer
  2018 年度中之島ワークショップ「金融工学・数理計量ファイナンスの諸問題2018」
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2018
- Author(s)
  Yuta Koike
- Organizer
  IMS-APRM 2018
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2018
- Author(s)
  小池祐太
- Organizer
  2018年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2018
- Author(s)
  小池祐太
- Organizer
  2018 年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-18H00836
[Presentation] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2018
- Author(s)
  Yuta Koike
- Organizer
  10th World Congress of the Bachelier Finance Society
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Testing the absence of lead-lag effects in high-frequency data2017
- Author(s)
  Yuta Koike
- Organizer
  TMU Workshop on Finance 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Web データと高頻度データ解析2017
- Author(s)
  小池祐太
- Organizer
  統計サマーセミナー 2017
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Wiener 汎関数べクトルの最大値のGauss 型近似とその高頻度データ解析への応用2017
- Author(s)
  小池祐太
- Organizer
  大阪大学確率論セミナー
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data (ポスター)2017
- Author(s)
  Yuta Koike
- Organizer
  SoFiE 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Lead-lag analysis of non-synchronously observed time series with R2017
- Author(s)
  小池祐太
- Organizer
  2017 年度統計関連学会連合大会
- Invited
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Capturing heterogeneous lead-lag effects from ultra high frequency data2017
- Author(s)
  Yuta Koike
- Organizer
  ASC2017
- Place of Presentation
  東京大学駒場キャンパス
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Lead-lag analysis of non-synchronously observed time series with R2017
- Author(s)
  Yuta Koike
- Organizer
  CMStatistics 2017
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Inference for time-varying lead-lag relationships from ultra high frequency data2017
- Author(s)
  Yuta Koike
- Organizer
  FST seminar
- Place of Presentation
  University of Macau
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] 高頻度データ解析に現れる最大値統計量の分布のGauss 型近似について2017
- Author(s)
  小池祐太
- Organizer
  大規模統計モデリングと計算統計IV
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Lead-lag analysis of non-synchronously observed time series with R2017
- Author(s)
  小池祐太
- Organizer
  2017 年度統計関連学会連合大会(英語セッション)
- Invited
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2017
- Author(s)
  Yuta Koike
- Organizer
  Asymptotic Statistics of Stochastic Processes and Applications XI
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data2017
- Author(s)
  Yuta Koike
- Organizer
  SoFiE 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data2017
- Author(s)
  Yuta Koike
- Organizer
  EcoSta 2017
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Capturing heterogeneous lead-lag relationships from ultra high frequency data2017
- Author(s)
  Yuta Koike
- Organizer
  EcoSta 2017
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Lead-lag analysis of non-synchronously observed time series with R2017
- Author(s)
  Yuta Koike
- Organizer
  CMStatistics 2017
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] 高頻度データにおけるリード・ラグ効果のウェーブレット解析2017
- Author(s)
  小池祐太
- Organizer
  応用統計ワークショップ
- Place of Presentation
  東京大学本郷キャンパス
- Invited
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] On the asymptotic structure of Brownian motions with a small lead-lag effect2017
- Author(s)
  Yuta Koike
- Organizer
  Asymptotic Statistics of Stochastic Processes and Applications XI
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Webデータと高頻度データ解析2017
- Author(s)
  小池祐太
- Organizer
  統計サマーセミナー2017
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017
- Author(s)
  Yuta Koike
- Organizer
  IAAE 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2017
- Author(s)
  Yuta Koike
- Organizer
  IAAE 2017
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[Presentation] Quadratic Variation Estimation of an Irregularly Observed Semimartingale with Jumps and Noise2016
- Author(s)
  Yuta Koike
- Organizer
  Wakimoto Memorial Session 2016
- Place of Presentation
  Statistical training center
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] 高頻度時系列データに対するリード・ラグ効果の統計解析2016
- Author(s)
  小池祐太
- Organizer
  2016年度統計関連学会連合大会
- Place of Presentation
  金沢大学角間キャンパス
- Invited
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Wavelet-based methods for high-frequency lead-lag analysis2016
- Author(s)
  Yuta Koike
- Organizer
  Stochastic Analysis and Statistics 4
- Place of Presentation
  東京大学駒場キャンパス
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] リードラグ効果のウェーブレット解析2016
- Author(s)
  小池祐太
- Organizer
  大規模統計モデリングと計算統計III
- Place of Presentation
  東京大学駒場キャンパス
- Invited
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Statistical analysis of price discovery: a stochastic process approach2016
- Author(s)
  Yuta Koike
- Organizer
  IMS-APRM2016
- Place of Presentation
  The Chinese University of Hong Kong
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Time varying lead-lag effect2016
- Author(s)
  Yuta Koike
- Organizer
  CFE-CMStatistics 2016
- Place of Presentation
  University of Seville
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Statistical lead-lag effects2016
- Author(s)
  Yuta Koike
- Organizer
  Portfolio dynamics and limit order books
- Place of Presentation
  Ecole CentraleSupelec
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] 超高頻度データに対するリード・ラグ効果の推定について2016
- Author(s)
  小池祐太
- Organizer
  慶應義塾大学経済研究所計量経済学ワークショップ
- Place of Presentation
  慶應義塾大学三田キャンパス
- Invited
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] 統計的リード・ラグ効果2016
- Author(s)
  小池祐太
- Organizer
  高精度情報抽出のための統計理論・方法論とその応用
- Place of Presentation
  九州大学伊都キャンパス
- Data Source
  KAKENHI-PROJECT-16K17105
[Presentation] Statistical lead-lag effects2016
- Author(s)
  Yuta Koike
- Organizer
  TMU Workshop on Financial Mathematics and Statistics 2016
- Place of Presentation
  Tokyo Metropolitan University
- Invited / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105

1. 清水泰隆 (70423085)

# of Collaborated Projects: 3 results

# of Collaborated Products: 0 results
2. Tsukahara Hideatsu (10282550)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
3. 川崎能典 (70249910)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
4. Uchida Masayuki (70280526)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
5. 林高樹 (80420826)

# of Collaborated Projects: 1 results

# of Collaborated Products: 5 results
6. 増田弘毅 (10380669)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
7. 廣瀬慧 (40609806)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
8. 江口翔一 (50814018)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
9. 山下智志 (50244108)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
10. XUE Yujie (20822232)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
11. 田上悠太 (60805050)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
12. 力丸佑紀 (80736009)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results
13. 中西正 (30967203)

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Koike Yuta 小池 祐太

Research Projects

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High-dimensional bootstrap and asymptotic expansionPrincipal Investigator

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Innovative development of statistical and machine learning approach focusing on the evaluation of financial and actuarial risk

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Deepening and developing statistical theory for dependent data based on Levy noise

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Estimating the repayment capacity of the default company based on the credit information of multiple banks and developing its machine learning method

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Statistical analysis of high-dimensional high-frequency dataPrincipal Investigator

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New developments of statistical methods for risk management in finance and insurance

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Interdisciplinary research in mathematical/data science and simulation science for stochastic differential equation models

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Statistical analysis of price discovery: a stochastic process approachPrincipal Investigator

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[Journal Article] Large-dimensional central limit theorem with fourth-moment error bounds on convex sets and balls2024

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[Journal Article] Drift estimation for a multi-dimensional diffusion process using deep neural networks2024

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[Journal Article] Sharp high-dimensional central limit theorems for log-concave distributions2024

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[Journal Article] Sharp high-dimensional central limit theorems for log-concave distributions2023

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[Journal Article] From p-Wasserstein bounds to moderate deviations2023

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[Journal Article] Sharp high-dimensional central limit theorems for log-concave distributions2023

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[Journal Article] High-Dimensional Data Bootstrap2023

Koike Yuta 小池祐太