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comment How to cluster stocks and construct an affinity matrix?
Thanks for the links. PCA forms the basis for spectral clustering doesn't it. I am not familiar with the term "Deep Learning". What does it mean? I have a list about 20 parameters that could be considered for the featureset. Performance wise might be good to do some cherry picking first - I am not sure whether the algorithms in scikit-learn are O(n) or higher order.
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comment How to cluster stocks and construct an affinity matrix?
I like this answer very much. I already tried different distance functions with differing success. In the article arxiv.org/abs/1110.5847 I linked to a distance function is mentioned. What do you think about this function? Due to limited resources, I need to have a practical performant distance metric.
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