[R-SIG-Finance] [R-sig-finance] http://www.market-topology.com/
yuri.volchik at gmail.com
Sun Apr 6 19:38:59 CEST 2008
I managed to create something similar to subj by using igraph package:
g2 <- graph.adjacency(adjMat,mode='plus',weighted=T, diag=F)
mst <- minimum.spanning.tree(g2)
So far i'm quite happy with results i got (for small datasets), seem to
align pretty well with a priori assumptions.
I'm also wondering about what Spencer said about full rank correlation
matrix, if there is another suitable metric to use for computing distances
instead of correlation matrix?
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