On May 7, 2014, at 4:37 PM, BBands <[email protected]> wrote: > Hello, > > Has anyone had any experience with clustering involving large numbers > of series? For example kmeans() or hclust(). We maintain a database of > 5000 stocks, 200 industry groups and 15 market sectors. The groups and > sectors are calced by us and are equal weighted. We require both a > fundamental fit and a solid correlation for inclusion and maintain > non-correlated buckets, one in each sector, for stocks that don't fit > in the group they are 'supposed to' belong to. The idea of doing the > cluster work is to provide a rational check and balance. Are new > groups forming, old groups deteriorating, have we missed existing > groups and so forth? (If kmeans is chosen an estimate of the number of > groups and sectors is needed and it is not clear how best to get to > that estimate.) So: Have you had any relevant experience? Especially > with feeding large numbers and mostly positively correlated price > series to cluster analysis? >
I am also interested in this exact question. Neil _______________________________________________ [email protected] 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.
