Lead-lag analysis for ultra-high-frequency trading

  • 1.3 Quantum AI
  • 1.4 Quantum financial engineering/technologies
  • 1.5 Quantum interdisciplinary sciences(Life science, Mathematics, Particle physics, Space science, Astronomy, Quantum gravity, etc.)
Yuta Koike
Graduate School of Mathematical Sciences
Associate Professor
In ultra-high-frequency trading of modern financial markets conducted at sub-second frequencies, one often observes lead-lag relationships between assets, which are beyond the scope of traditional theory of financial engineering. This project aims at understanding how and why such phenomena occur.
Multi-scale decomposition of the cross-covariance between the S&P 500 index and its futures
Histogram of lead-lag times between the NASDAQ and BATS exchanges

Research collaborators

Takaki Hayashi (Professor, Keio University)

Related publications

Takaki Hayashi, Yuta Koike, Wavelet-based methods for high-frequency lead-lag analysis, SIAM Journal of Financial Mathematics, Vol. 9, No. 4, pp. 1208-1248 (2018).


  • SDG8 Promote sustained, inclusive and sustainable economic growth, full and productive employment and decent work for all
  • SDG10 Reduce inequality within and among countries
Access Map
Kashiwa Campus
Hongo Campus
Komaba Campus