We are looking to organize online x in-person meetups on HK island going forward. Thanks to our sponsor Darwinex to help us supporting the various costs. Abstract: We introduce a class of interpretable tree-based models (P-Trees) for analyzing panel data, with iterative and global (instead of recursive and local) splitting criteria to avoid overfitting and improve model performance. We apply P-Tree to generate a stochastic discount factor model and test assets for cross-sectional asset pricing. Unlike other tree algorithms, P-Trees accommodate imbalanced panels of asset returns and grow under the no-arbitrage condition.