Questions tagged [cluster]
The cluster tag has no usage guidance.
20 questions
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Conducting PCA on features of dataset
To preface, I am very new to quantitative finance and nowhere near the point of actually trading so forgive me if this question is trivial to most of you.
I am making a basic k-means clustering ...
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Subportfolio optimisation and asset clustering with maximum cluster cardinality constraint
Assume that $N \in \mathbb{N}$ assets are given, but the portfolio optimisation algorithm can only compute portfolios with $m<N$ assets. To compute a portfolio, I would like to cluster the $N$ ...
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Implementing Hierarchical PCA for financial time series in R
I would like to implement the method "Hierarchical PCA", as described in the following paper and compare it to a "standard" PCA. I like to do this in R
AVELLANEDA, Marco. ...
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Select top $n$ most correlated assets in universe
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 ...
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How to reduce a covariance matrix after clustering?
I have an N = 100 covariance matrix. I am clustering the covariance matrix say into 5 clusters.
How can I compute the reduced ...
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Bug found in Optimal Number of Clusters algorithm - from de Prado and Lewis (2018)
I believe I have found a bug in Optimal Number of Clusters (ONC) from the paper "Detection of False Investment Strategies Using Unsupervised Learning Methods".
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312
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Spectral clustering in finance
What are some examples of applying spectral clustering to financial times series data or other areas of finance? Why spectral clustering was used for each application rather than other types of ...
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Clustering the observations in a price or returns series [closed]
Given one stock, what value would there be in clustering the individual sample observations within that stock's historical prices series, or its return series? is univariate clustering done in finance?...
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Mixture of a similarity-based clustering and a feature-based clustering
Take for example the S&P500 universe with 500 stocks. Something interesting would be to create clusters based on stocks' correlations in order to have clusters that have the same "direction" in ...
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139
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Dendrogram/cluster analysis of correlation matrix
First post, hope I'm explaining things sufficiently clearly. I want to take a universe of potential, trade-able instruments and allocate them to portfolio managers. Traditionally, this is done using a ...
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Which method would you use to compare if a time series of financial returns has more "clusterized volatility" than another?
It is known that the historical series of financial returns are characterized by the so-called volatility clustering. Suppose we approximate the number of two-type clusters, namely the high and low ...
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How can I 'quantize' a time-series in 'groups' exhibiting similar patterns? [closed]
In Signal processing, there is a topic of 'Quantization' (the process of mapping input values from a large set to output values in a (countable) smaller set ('states') ). I would like to construct a ...
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z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?
I need to compare (get correlation between) different financial instruments (stocks).
The problem is that different stocks will have different price scales.
I was thinking of using z-score ...
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134
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Time Series clustering
I have financial time series and PCA scores, that I'm trying to cluster. As PCA scores don't have orientation, I would like to know what clustering method would be suitable for clustering these kind ...
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Which database to choose for storing and aggregating finance data?
I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this:
Every tick (or second) data will be grouped by period (1,5,10 minutes; ...
- 181
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675
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Memory-efficient clustering algorithm for large time-series datasets
I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
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Rate Distortion Minimization in a Python Clustering Algorithm
I'm attempting to solve for $\hat{k}$ clusters, such that the rate distortion is minimized, as described here, however, the answers that I am getting from my algorithm are not following the "Jump" ...
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How to cluster ETFs to reduce cardinality for portfolio selection
I'm looking to run portfolio optimizations using various optimization goals - e.g. minimum variance, max diversification etc. My challenge is if I want to do this on ETF's which ones do I pick to run ...
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How to group mutual funds by volatility?
I want to group Mutual Funds by their volatility.
Ideally, I would like to end up with the mutual funds beings attached to different groups:
High volatility
Medium volatility
Low Volatility
My ...
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How do you synthesize a probability density function (pdf) from equally weighted price data?
What I'm working with:
I have a collection of prices that has very few to no repeating values (depending on the look back period) ie each price value is unique, some prices are clustered and some can ...
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