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q-fin.ST2022
The Lepto-Variance of Stock Returns
Vassilis Polimenis
The Regression Tree (RT) sorts the samples using a specific feature and finds the split point that produces the maximum variance reduction from a node to its children. Our key obse…
q-fin.ST2020
Uncovering a factor-based expected return conditioning structure with Regression Trees jointly for many stocks
Vassilis Polimenis
Given the success and almost universal acceptance of the simple linear regression three-factor model, it is interesting to analyze the informational content of the three factors in…