Original article from https://rviews.rstudio.com/2017/08/22/stocks/
This example groups stocks together in a network that highlights associations within and between the groups using only historical price data. The result is far from ground-breaking: you can already guess the output. For the most part, the stocks get grouped together into pretty obvious business sectors.
Despite the obvious result, the process of teasing out latent groupings from historic price data is interesting. That’s the focus of this example. A central idea of the approach taken here comes from the great paper of Ledoit and Wolf, “Honey, I Shrunk the Sample Covariance Matrix” ( http://www.ledoit.net/honey.pdf ). This example employs an alternative approach based on a matrix eigenvalue decomposition, but it’s the same general idea.