That is very useful, many thanks Murali! Rgds, Julien
> From: murali.me...@avivainvestors.com > To: j_cuisin...@hotmail.com; comtech....@gmail.com; > r-sig-fina...@stat.math.ethz.ch > Date: Thu, 23 Feb 2012 09:47:52 +0000 > Subject: RE: [R-SIG-Finance] correlation based time series clustering? > > Folks, > > There's been quite a bit of work on clustering in finance: > > http://www.mendeley.com/research/correlation-based-hierarchical-clustering-in-financial-time-series/ > > I think many of Mantegna's works are available for download. > > Very simply, though, you can calculate a correlation matrix given your time > series of returns, and then apply, say, a medoid-clustering scheme (e.g. the > pam function in package 'cluster') and see what happens. According to > Mantegna, if you do this on the components of the Dow Jones, the various > industrial types very naturally form individual clusters. > > Hope this helps. > > Murali > > -----Original Message----- > From: r-sig-finance-boun...@r-project.org > [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of julien cuisinier > Sent: 23 February 2012 09:29 > To: comtech....@gmail.com; r-sig-fina...@stat.math.ethz.ch > Subject: Re: [R-SIG-Finance] correlation based time series clustering? > > > Hi Michael, > > > > A very general question here with little input from you...I am not surprised > to see little feedback > > I have been looking for something similar & same result so I do not think it > exist yet. I am a complete newbie in clustering but looking around there are > plenty of R function available, nothing that I could find as simple as using > correlation per se. > > Thinking about it Im not sure how it would work & anything I can think of > would be quite sensitive to the starting point (e.g. calculate pair-wise > correls within a market, then start by one stock & cluster with it all other > stocks with corrells higher than a certain threshold?) May be some recursive > function trying many different starting points? But then what to do with the > resulting different cluster structure? > > Could you share with the list what reference (not in R) you found on the > topic? That would be great if you could share / bring something to the list > as well & then see if we can build that in? (very very ambitious of me here =) > > > > Thanks & regards, > Julien > > > > > > > > > > > Date: Tue, 21 Feb 2012 15:05:59 -0600 > > From: comtech....@gmail.com > > To: r-sig-fina...@stat.math.ethz.ch > > Subject: [R-SIG-Finance] correlation based time series clustering? > > > > Hi all, > > > > I am looking for a function for correlation based time-series clustering in > > R... I have googled for quite a while and couldn't find any in R... > > > > Could you please help me? > > > > Thanks a lot! > > > > [[alternative HTML version deleted]] > > > > _______________________________________________ > > R-SIG-Finance@r-project.org mailing list > > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > > -- Subscriber-posting only. If you want to post, subscribe first. > > -- Also note that this is not the r-help list where general R questions > > should go. > > [[alternative HTML version deleted]] > > _______________________________________________ > R-SIG-Finance@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. If you want to post, subscribe first. > -- Also note that this is not the r-help list where general R questions > should go. [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
