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

[Krishna Kumar]

Yuri Volchik wrote:
> 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.
>
> 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  
>
>
>
>   
There is a reference to MST in the book by Stanley and Mantega,
http://www.amazon.com/exec/obidos/ASIN/0521620082/kriskumar-20

There is also a couple of papers on the web co-authored  by some folks 
with Mantega. Also you will find this fx reference useful
http://arxiv.org/abs/physics/0503014

Cheers
Krishna