Questions tagged [cluster]
The cluster tag has no usage guidance.
7 questions with no upvoted or accepted answers
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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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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 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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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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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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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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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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