Clustering stock market
I am trying to cluster the companies listed in a stock market on the basis of the risk and returns. I have about companies categories and two variables risk, return under each category.
The data comprises of daily data for the past 10 years. I want to run a cluster analysis to group the companies categories but I am unsure about the methodology.
This example from the scikit-learn project might give you some ideas on how to combine sparse covariance graph estimation with traditional clustering so as to identify some of the underlying structure of a market from daily price data.
I contribute to the scikit-learn project even though I am not the one who wrote this example. If you plot the risk vs.
Visualizing the stock market structure — scikit-learn documentation
A common unsupervised algorithm is the k-means algorithm. In addition, there is a good tutorial on using clustering methods to classify hedge funds into groupings of returns vs volatility in trading strategy using stochastic book p 94 cluster analysis:.
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Clustering and the Stock Market | RokkinCat
Clustering of stock market returns. Prawesh S 11 1. What do you mean by "methodology": You have only data points and only two features?
Have you started by plotting them clustering stock market see what they look like? I was thinking the same thing, only plotting summary numbers--one variable to represent risk and one to represent return. If you try creating this plot, I hope you'll post it here.
Cluster analysis Definition - nihoyuyipe.web.fc2.com
It'll be interesting to see. Look at unsupervised machine learning algorithms.
I bet I would find this example pretty interesting if labels were provided for the X- and Y-axis. That would give the viewer something more definite to grapple with.
The axis are found using a 2D Locally Linear Embedding as explained in the summary and the inline comments. The axis don't mean anything: In addition, there is a good tutorial on using clustering methods to classify hedge funds into groupings of returns vs volatility in this book p 94 cluster analysis: Sign up or log in StackExchange.
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