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Tristan Cazenave

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#machine learning Preprint Oct 2026

$L_0$ Feature Selection via Monte Carlo Tree Search in High-Dimensional Financial Regression

Feature selection is a central problem in high-dimensional financial regression, where large numbers of engineered variables and strong correlations among predictors reduce model stability and interpretability. $L_1$ regularization (Lasso) is widely used for sparse regression, but its shrinkage can be restrictive when...

Cameron Mouangue, Tristan Cazenave · 0 citations