[R-SIG-Finance] clustering

[Neil Tiffin]

On May 7, 2014, at 4:37 PM, BBands <bbands at gmail.com> wrote:

> Hello,
> 
> Has anyone had any experience with clustering involving large numbers
> of series? For example kmeans() or hclust(). We maintain a database of
> 5000 stocks, 200 industry groups and 15 market sectors. The groups and
> sectors are calced by us and are equal weighted. We require both a
> fundamental fit and a solid correlation for inclusion and maintain
> non-correlated buckets, one in each sector, for stocks that don't fit
> in the group they are 'supposed to' belong to. The idea of doing the
> cluster work is to provide a rational check and balance. Are new
> groups forming, old groups deteriorating, have we missed existing
> groups and so forth? (If kmeans is chosen an estimate of the number of
> groups and sectors is needed and it is not clear how best to get to
> that estimate.) So: Have you had any relevant experience? Especially
> with feeding large numbers and mostly positively correlated price
> series to cluster analysis?
> 

I am also interested in this exact question.

Neil