[R-SIG-Finance] Scaling and Clustering of Financial Data

[aschmid1]

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]]
> 
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