Wednesday, July 25, 2012

Inspirational Stack Overflow Dendrogram Applied to Currencies

When I saw the answer to this Stack Overflow question, I immediately remembered working on my old post Clustering with Currencies and Fidelity Funds and just had to try to apply this technique.  As I should have guessed, it worked with only a minimal amount of changes.  Hoping to incrementally improve, I added a couple of slight modifications.

From TimelyPortfolio

R code from GIST (select raw to copy/paste):

1 comment:

  1. Interesting post. Thank you. I played a bit with your code, but there's just one thing that puzzles me is that this method aims at clustering similar series, but observing the results visually I couldnt find any similarities. e.g. why China series are similar to US, if visually India is much closer. or why Singapore and Taiwan are not in one group.

    It seems to me that this is a drawback of the method itself, not visualization.