Cong, Lin William; Feng, Guanhao; He, Jingyu; He, Xin - 2022
We introduce a class of interpretable tree-based models (P-Tree) for analyzing (unbalanced) panel data, with iterative and global (instead of recursive and local) split criteria. We apply P-Tree to split the cross section of asset returns under the no-arbitrage condition, generating a stochastic...