POportfoliooptimizer
Assets / Clustering / Correlation-Based

Spectral Clustering

Changed on

Compute a partition of a universe of assets into clusters using a spectral clustering method.

References

post/assets/clustering/spectral/correlation-based

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/assets/clustering/spectral/correlation-based
  • Auth
    API key in header X-API-Key

Request body

assetsinteger required

The number of assets

clusteringMethod'blockbuster' | 'sponge' | 'spongeSymmetric'

The hierarchical clustering method to use

clustersinteger

The number of clusters to group the assets into; if not provided, it is computed using a proprietary procedure

clusteringSimulationsinteger

The number of clustering simulations to perform when the number of clusters is computed using a proprietary variation of Horn's parallel analysis method

positiveDegreeMatrixRegularizationParameternumber

The regularization parameter applicable to the positive degree matrix, in case the clustering method is either SPONGE or symmetric SPONGE

negativeDegreeMatrixRegularizationParameternumber

The regularization parameter applicable to the positive degree matrix, in case the clustering method is either SPONGE or symmetric SPONGE

Response

OK

Changes