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