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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.