I'm looking at clustering of stocks based on their fundamental financial
data. I have about 80 variables per stock. I have the standard k-means
package. Firstly, I am wondering if there are any other R packages that
may be more useful for clustering of financial data.
My second, and more important (to me), question is- Should one scale the
data before clustering. I'm particularly worried that since certain
variables can be orders of magnitude larger than other equally interesting
variables (-think market cap and p/e). I realize this is not an R question
per se, but I feel I am more likely to get a good answer out of this forum
than any other because of the concentration of financial practitioners. Of
course, I apologize in advance, if it is too 'off-topic' and then simply
ask for a better place to post. Thanks.
Adam Ginensky
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