TreeFactor

Panel Tree Factor Model

This is the public R package for Panel Tree factor model. More details are in the paper.

How to install TreeFactor

• assume Mac/Linux user
• use command line, go to folder where you store github repos
• git clone this repo to your machine
• run ls command, you should see TreeFactor printed
• run R CMD INSTALL TreeFactor

For windows users, install the package in R session: install.packages(“your_directory/TreeFactor”, repos = NULL, type = “source”)

How to start using TreeFactor

• run cd TreeFactor
• run sh demo.sh
  • simulate R data
  • run demo1 for basic boosted tree
  • run demo2 for market adjusted boosted tree
  • run demo3 for time series split.
• you can find the printed output in test/demo folders.

For windows users, please run each demo in the corresponding folder.

Reference

• You are encouraged to cite our paper for P-Tree factor model.
• Working paper version: Asset Pricing with Panel Trees under Global Split Criteria