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Bob Anderson, UC Berkeley: Sparse Low Rank Dictionary Learning

September 5 @ 11:00 am - 12:30 pm

Sparse Dictionary Learning (SDL) can be used to extract narrow factors driving stock returns from a stock returns matrix, provided the returns are generated by sparse factors alone.  We describe progress on a variant called Sparse Low Rank Dictionary Learning (SLRDL), designed to simultaneously extract broad and narrow factors for the returns matrix, when the returns are generated by both types of factors.



Details

Date:
September 5
Time:
11:00 am - 12:30 pm
Event Category:

Venue

639 Evans Hall at UC Berkeley
639 Evans Hall
Berkeley, CA 94720 United States
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