[R-SIG-Finance] Scaling and Clustering of Financial Data
aschmid1
aschmid1 at stevens.edu
Wed Apr 23 17:41:31 CEST 2014
One way to deal with variables of different nature/units is to scale
them with their standard deviations.
On 04/23/2014 10:53 AM, Adam Ginensky wrote:
> I'm looking at clustering of stocks based on their fundamental
> financial
> data. I have about 80 variables per stock. I have the standard
> k-means
> package. Firstly, I am wondering if there are any other R packages
> that
> may be more useful for clustering of financial data.
> My second, and more important (to me), question is- Should one scale
> the
> data before clustering. I'm particularly worried that since certain
> variables can be orders of magnitude larger than other equally
> interesting
> variables (-think market cap and p/e). I realize this is not an R
> question
> per se, but I feel I am more likely to get a good answer out of this
> forum
> than any other because of the concentration of financial practitioners.
> Of
> course, I apologize in advance, if it is too 'off-topic' and then
> simply
> ask for a better place to post. Thanks.
>
> Adam Ginensky
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at 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.
More information about the R-SIG-Finance
mailing list