36 citations · 37 across the 2 of their papers we have counts for
2 papers
q-fin.ST2020★ 1 cited
The Low-volatility Anomaly and the Adaptive Multi-Factor Model
Robert A. Jarrow, Rinald Murataj, Martin T. Wells +1
The paper provides a new explanation of the low-volatility anomaly. We use the Adaptive Multi-Factor (AMF) model estimated by the Groupwise Interpretable Basis Selection (GIBS) alg…
stat.ML2016★ 36 cited
Tree Space Prototypes: Another Look at Making Tree Ensembles Interpretable
Sarah Tan, Matvey Soloviev, Giles Hooker +1
Ensembles of decision trees perform well on many problems, but are not interpretable. In contrast to existing approaches in interpretability that focus on explaining relationships…