I know this questions is a bit ambiguous, but I guess that's natural. To put it simply: I have a universe of around 600 stocks. How do I find the top $n$ "most correlated" assets?
At the moment I'm using a spectral coclustering technique to pick the cluster with the highest average correlation. This works fine, but it doesn't give me any sort of control over the number of assets that I want to pick. It just doesn't feel right.
Is there a better way to do this?
Edit: in principle I am looking at absolute correlation, but in my case almost all assets have a positive correlation.