Koike Yuta 小池祐太

Researcher Number	80745290
Affiliation (Current)	2020: 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 – 2020: 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 Economic statistics / Basic Section 07030:Economic statistics-related Except Principal Investigator Foundations of mathematics/Applied mathematics / Basic Section 07030:Economic statistics-related
Keywords	Principal Investigator 高頻度データ / リード・ラグ効果 / マーケット・マイクロストラクチャー / 漸近理論 / 非同期観測 / マイクロストラクチャーノイズ / 経済統計学 / リード・ラグ / 高次元共分散推定 / Malliavin解析 … More Except Principal Investigator 高頻度データ / 保険数理 / 統計数学 / 確率過程 / 計算統計 / 数理統計学 / 先行遅行分析 / ウェーブレット解析 / ある点過程の周辺尤度解析とモデル選択 / 確率微分方程式による死亡率予測モデリング / 高次元共分散推定 / ジャンプ型拡散過程 / 初期到達分布 / 漸近理論 / ジャンプ型確率過程 / 経済統計学 / 計量ファイナンス / リスク管理 / バックテスト / 接合関数 Less

Statistical analysis of high-dimensional high-frequency dataPrincipal InvestigatorOngoing
- Principal Investigator
  
  小池祐太
- Project Period (FY)
  2019 – 2021
- 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 insuranceOngoing
- Principal Investigator
  
  塚原英敦
- 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
確率微分方程式モデルに基づく数理・データ科学とシミュレーション科学の融合的研究Ongoing
- Principal Investigator
  
  内田雅之
- 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 2020 2019 2018 2017 2016

All Journal Article Presentation

[Journal Article] De-biased graphical Lasso for high-frequency data2020
- Author(s)
  Yuta Koike
- Journal Title
  
  Entropy
  
  Volume: 22 Pages: 1-38
- DOI
  10.3390/e22040456
- Peer Reviewed / Open Access
- Data Source
  KAKENHI-PROJECT-19K13668, KAKENHI-PROJECT-17H01100
[Journal Article] No arbitrage and lead-lag relationships2019
- Author(s)
  Takaki Hayashi and Yuta Koike
- Journal Title
  
  Statistics & Probability Letters
  
  Volume: 154 Pages: 108530-108530
- DOI
  10.1016/j.spl.2019.06.006
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K03601
[Journal Article] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2019
- Author(s)
  Yuta Koike
- Journal Title
  
  The Annals of Statistics
  
  Volume: 4 Pages: 1663-1687
- DOI
  10.1214/18-aos1731
- Peer Reviewed
- Data Source
  KAKENHI-PROJECT-17H01100, KAKENHI-PROJECT-16K17105
[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 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] 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
- DOI
  10.1007/s10463-018-0659-8
- Peer Reviewed / Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-16K17105, 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
  CMStatistics 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 62nd ISI World Statistics Congress 2019 (ISI-WSC 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 11th ICSA International Conference
- 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-18H00836
[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] 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 3rd KAFE-JAFEE International Conference on Financial Engineering
- Invited / 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 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-17H01100
[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] 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] 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-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] 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] 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] 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] 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] 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] 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] 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] 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] 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] 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-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] 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] 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] 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 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] 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] 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)
  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
- Int'l Joint Research
- Data Source
  KAKENHI-PROJECT-17H01100
[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] 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] 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] 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] 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] 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] 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)
  Yuta Koike
- Organizer
  CMStatistics 2017
- Invited / 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-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-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] 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] 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] 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] 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] 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] 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 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] 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] 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] 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] 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] 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] 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] 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] 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
[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] 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] 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] 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] 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] 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] 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] 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

1. 清水泰隆 (70423085)

# of Collaborated Projects: 2 results

# of Collaborated Products: 0 results
2. 内田雅之 (70280526)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 2 results
4. 塚原英敦 (10282550)

# of Collaborated Projects: 1 results

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

# of Collaborated Projects: 1 results

# of Collaborated Products: 0 results

Koike Yuta 小池 祐太

Research Projects

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Co-Researchers

Statistical analysis of high-dimensional high-frequency dataPrincipal InvestigatorOngoing

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

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確率微分方程式モデルに基づく数理・データ科学とシミュレーション科学の融合的研究Ongoing

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Statistical analysis of price discovery: a stochastic process approachPrincipal Investigator

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[Journal Article] De-biased graphical Lasso for high-frequency data2020

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[Journal Article] No arbitrage and lead-lag relationships2019

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[Journal Article] Gaussian approximation of maxima of Wiener functionals and its application to high-frequency data2019

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[Journal Article] Mixed-normal limit theorems for multiple Skorohod integrals in high-dimensions, with application to realized covariance2019

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[Journal Article] Wavelet-based methods for high-frequency lead-lag analysis2018

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[Journal Article] Asymptotic properties of the realized skewness and related statistics2018

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[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

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[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

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[Presentation] De-biased graphical Lasso for high-frequency data2019

Author(s)

Organizer

Data Source

[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

Author(s)

Organizer

Data Source

[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

Author(s)

Organizer

Data Source

[Presentation] Asymptotic mixed normality of realized covariance in high-dimensions2019

Author(s)

Organizer

Koike Yuta 小池祐太