
Hi Michael,



A very general question here with little input from you...I am not surprised to see little feedback

I have been looking for something similar & same result so I do not think it exist yet. I am a complete newbie in clustering but looking around there are plenty of R function available, nothing that I could find as simple as using correlation per se. 

Thinking about it Im not sure how it would work & anything I can think of would be quite sensitive to the starting point (e.g. calculate pair-wise correls within a market, then start by one stock & cluster with it all other stocks with corrells higher than a certain threshold?) May be some recursive function trying many different starting points? But then what to do with the resulting different cluster structure? 

Could you share with the list what reference (not in R) you found on the topic? That would be great if you could share / bring something to the list as well & then see if we can build that in? (very very ambitious of me here =)



Thanks & regards,
Julien









> Date: Tue, 21 Feb 2012 15:05:59 -0600
> From: comtech.usa@gmail.com
> To: r-sig-finance@stat.math.ethz.ch
> Subject: [R-SIG-Finance] correlation based time series clustering?
> 
> Hi all,
> 
> I am looking for a function for correlation based time-series clustering in
> R... I have googled for quite a while and couldn't find any in R...
> 
> Could you please help me?
> 
> Thanks a lot!
> 
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