The Lepto-Variance of Stock Returns

@article{Polimenis2022TheLO,
  title={The Lepto-Variance of Stock Returns},
  author={V. Polimenis},
  journal={ArXiv},
  year={2022},
  volume={abs/2207.04867}
}
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 observation is that the best factor to use (in terms of MSE drop) is always the target itself, as this most clearly separates the target. Thus using the target as the splitting factor provides an upper bound on MSE drop (or lower bound on the residual children MSE). Based on this observation, we define the k-bit lepto… 

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