[R-SIG-Finance] [R-sig-finance] http://www.market-topology.com/

[Yuri Volchik]

Hi Spencer,
thanks for your answer, i did look at those packages.
given your very informative post (i understand your point about possible
changes in correlation structure etc) how they can do what they do :) ,their
classification makes sense to me.

Another link with MST in finance
http://www.etf-central.com/select-sector-spdr-minimum-spanning-trees-november-27th%2C-2007-203

I presume one can use intraday prices, say with 5 min intervals, thus in one
year would have around 20000 observations so it should be enough from a
computational viewpoint.

If there is any good link (book) on the subj, would appreciate it.

Thanks  



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