All Questions
Tagged with cluster correlation
3 questions
-1
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2
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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 ...
- 119
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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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- 101
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1
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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 ...
