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clusters = cluster_correlation_matrix(corr_matrix,2)
Cluster 1
Equity: ['AEX', 'BEL20', 'BOVESPA', .... 'SP500_micro', 'TOPIX']
OilGas: ['BRENT-LAST', 'CRUDE_W_mini', 'GASOILINE', 'HEATOIL']
Bond: ['BTP', 'BTP3']
Ags: ['BBCOMM']
FX: ['AUD', 'BRE', 'CAD', 'GBP', 'INR', 'IRS', 'KRWUSD', 'MXP',
'NOK', 'NZD', 'RUR', 'YENEUR']
Metals: ['COPPER', 'PALLAD', 'PLAT']
Sector: ['EU-AUTO', 'EU-BANKS', 'EU-BASIC',... 'US-TECH', 'US-UTILS']
Cluster 2
Equity: ['FTSEINDO']
OilGas: ['ETHANOL', 'GAS-LAST', 'GAS_US_mini']
Ags: ['BUTTER', 'CHEESE', 'CORN', .... 'SOYOIL', 'WHEAT']
Bond: ['BOBL', 'BONO', 'BUND', 'BUXL', 'CH10', ....'USIRS5', 'USIRS5ERIS']
FX: ['CHF', 'CNH', 'CZK', 'EUR', 'EURCHF', 'GBPEUR', 'JPY', 'SEK', 'SGD']
Vol: ['V2X', 'VIX', 'VNKI']
Metals: ['ALUMINIUM', 'BITCOIN', 'ETHEREUM', 'GOLD_micro', 'IRON', 'SILVER']
N=3
clusters = cluster_correlation_matrix(corr_matrix,N)
display_clusters(system, clusters)
Cluster 1
Equity: ['AEX', 'BEL20', .... 'SP400', 'SP500_micro', 'TOPIX']
OilGas: ['BRENT-LAST', 'CRUDE_W_mini', 'GASOILINE', 'HEATOIL']
Bond: ['BTP', 'BTP3']
Ags: ['BBCOMM']
FX: ['AUD', 'BRE', 'CAD', .... 'RUR', 'YENEUR']
Metals: ['COPPER', 'PALLAD', 'PLAT']
Sector: ['EU-AUTO', 'EU-BANKS', 'EU-BASIC', ... 'US-TECH', 'US-UTILS']Cluster 2
Vol: ['V2X', 'VIX', 'VNKI']
FX: ['CNH', 'SGD']Cluster 3
Equity: ['FTSEINDO']
OilGas: ['ETHANOL', 'GAS-LAST', 'GAS_US_mini']
Ags: ['BUTTER', 'CHEESE', ... 'SOYMEAL', 'SOYOIL', 'WHEAT']
Bond: ['BOBL', 'BONO', .... 'USIRS5', 'USIRS5ERIS']
FX: ['CHF', 'CZK', 'EUR', 'EURCHF', 'GBPEUR', 'JPY', 'SEK']
Metals: ['ALUMINIUM', 'BITCOIN', 'ETHEREUM', 'GOLD_micro', 'IRON', 'SILVER']
N=4
clusters = cluster_correlation_matrix(corr_matrix,N)
display_clusters(system, clusters)
Cluster 1
Equity: ['AEX', 'BEL20', ... 'SP500_micro', 'TOPIX']
OilGas: ['BRENT-LAST', 'CRUDE_W_mini', 'GASOILINE', 'HEATOIL']
Bond: ['BTP', 'BTP3']
Ags: ['BBCOMM']
FX: ['AUD', 'BRE', ..., 'NZD', 'RUR', 'YENEUR']
Metals: ['COPPER', 'PALLAD', 'PLAT']
Sector: ['EU-AUTO', 'EU-BANKS', '.... 'US-TECH', 'US-UTILS']
Cluster 2
Vol: ['V2X', 'VIX', 'VNKI']
FX: ['CNH', 'SGD']
Cluster 3
Equity: ['FTSEINDO']
OilGas: ['ETHANOL', 'GAS-LAST', 'GAS_US_mini']
Ags: ['BUTTER', 'CHEESE', 'CORN',.... 'SOYMEAL', 'SOYOIL', 'WHEAT']
FX: ['CHF', 'CZK', 'EUR', 'EURCHF', 'SEK']
Metals: ['ALUMINIUM', 'BITCOIN', 'ETHEREUM', 'GOLD_micro', 'IRON', 'SILVER']
Cluster 4
Bond: ['BOBL', 'BONO',.... 'USIRS5', 'USIRS5ERIS']
FX: ['GBPEUR', 'JPY']
Cluster 1
Equity: ['AEX', 'BEL20', 'CAC', 'DAX', .... 'SP400', 'SP500_micro', 'TOPIX']
Sector: ['EU-AUTO', 'EU-BANKS', ... 'US-STAPLES', 'US-TECH']Cluster 2
Equity: ['BOVESPA', 'FTSECHINAA', 'FTSECHINAH', 'FTSETAIWAN', 'KOSDAQ', 'MSCIASIA']
OilGas: ['BRENT-LAST', 'CRUDE_W_mini', 'GASOILINE', 'HEATOIL']
Bond: ['BTP', 'BTP3']
Ags: ['BBCOMM']
FX: ['AUD', 'BRE', 'CAD', ... 'RUR', 'YENEUR']
Metals: ['COPPER', 'PALLAD', 'PLAT']
Sector: ['JP-REALESTATE', 'US-PROPERTY', 'US-REALESTATE', 'US-UTILS']Cluster 3
Vol: ['V2X', 'VIX', 'VNKI']
FX: ['CNH', 'SGD']Cluster 4
Equity: ['FTSEINDO']
OilGas: ['ETHANOL', 'GAS-LAST', 'GAS_US_mini']
Ags: ['BUTTER', 'CHEESE', 'CORN',.... 'SOYOIL', 'WHEAT']
FX: ['CHF', 'CZK', 'EUR', 'EURCHF', 'SEK']
Metals: ['ALUMINIUM', 'BITCOIN', 'ETHEREUM', 'GOLD_micro', 'IRON', 'SILVER']Cluster 5
Bond: ['BOBL', 'BONO', ... 'USIRS10', 'USIRS5', 'USIRS5ERIS']
FX: ['GBPEUR', 'JPY']
Existing:
Cluster 1: Core equities risk on
Equity: ['AEX', 'BEL20',... 'SP500_micro', 'TOPIX']
Sector: ['EU-AUTO', 'EU-BANKS', ... 'US-STAPLES', 'US-TECH']
Cluster 2: Random risk on
Equity: ['BOVESPA', 'FTSECHINAA', 'FTSECHINAH', 'FTSETAIWAN', 'KOSDAQ', 'MSCIASIA']
OilGas: ['BRENT-LAST', 'CRUDE_W_mini', 'GASOILINE', 'HEATOIL']
Bond: ['BTP', 'BTP3']
Ags: ['BBCOMM']
FX: ['AUD', 'BRE', 'CAD', ... 'NOK', 'NZD', 'RUR', 'YENEUR']
Metals: ['COPPER', 'PALLAD', 'PLAT']
Sector: ['JP-REALESTATE', 'US-PROPERTY', 'US-REALESTATE', 'US-UTILS']
Cluster 3: Vol + Asian FX
Vol: ['V2X', 'VIX', 'VNKI']
FX: ['CNH', 'SGD']
Cluster 4: Random commodities
Equity: ['FTSEINDO']
OilGas: ['ETHANOL', 'GAS-LAST', 'GAS_US_mini']
Ags: ['BUTTER', 'CHEESE', ... 'SOYMEAL', 'SOYOIL', 'WHEAT']
FX: ['CHF', 'CZK', 'EUR', 'EURCHF', 'SEK']
Metals: ['ALUMINIUM', 'BITCOIN', 'ETHEREUM', 'GOLD_micro', 'IRON', 'SILVER']
New clusters:
Cluster 5: Non US and German bonds, that aren't Italian
Bond: ['BONO', 'CH10', 'JGB', 'KR10', 'KR3', 'OAT']
Cluster 6: US and German Bonds plus odd FX
Bond: ['BOBL', 'BUND', ... 'USIRS5', 'USIRS5ERIS']
FX: ['GBPEUR', 'JPY']
New clusters:
Cluster 2: Risk on randomness mostly FX
Metals: ['PALLAD', 'PLAT']
FX: ['AUD', 'BRE', 'CAD', 'GBP', 'INR', 'IRS', 'MXP', 'NOK', 'NZD', 'RUR']
Equity: ['BOVESPA']
Sector: ['JP-REALESTATE', 'US-PROPERTY', 'US-REALESTATE', 'US-UTILS']
Cluster 3: Risk on randomness Asian equity, oil, italian bonds...
Equity: ['FTSECHINAA', 'FTSECHINAH', 'FTSETAIWAN', 'KOSDAQ', 'MSCIASIA']
OilGas: ['BRENT-LAST', 'CRUDE_W_mini', 'GASOILINE', 'HEATOIL']
Ags: ['BBCOMM']
Bond: ['BTP', 'BTP3']
FX: ['KRWUSD', 'YENEUR']
Metals: ['COPPER']
New clusters:-
Cluster 4: US/EU vol
Vol: ['V2X', 'VIX']
Cluster 5: JP Vol, Asian FX
Vol: ['VNKI']
FX: ['CNH', 'SGD']
New clusters:
Cluster 8: German and US bonds
Bond: ['BOBL', 'BUND', 'BUXL', 'EDOLLAR', 'SHATZ', 'US10', 'US10U', 'US2', 'US20', 'US3', 'US30', 'US5', 'USIRS10', 'USIRS5', 'USIRS5ERIS']
FX: ['JPY']
Cluster 9: GBPEUR
FX: ['GBPEUR']
Cluster 1: Core equity risk on
Equity: ['AEX', 'BEL20', 'CAC', 'DAX', 'DJSTX-SMALL',
'DOW', 'EU-DIV30', 'EURO600', 'EUROSTX', 'EUROSTX-LARGE',
'EUROSTX-SMALL', 'KOSPI', 'MSCISING', 'MUMMY',
'NASDAQ_micro', 'NIFTY', 'NIKKEI', 'NIKKEI400',
'OMX', 'R1000', 'RUSSELL', 'SMI', 'SMI-MID',
'SP400', 'SP500_micro', 'TOPIX']
Sector: ['EU-AUTO', 'EU-BANKS', 'EU-BASIC', 'EU-CHEM',
'EU-CONSTRUCTION', 'EU-DJ-TELECOM', 'EU-FOOD',
'EU-HEALTH', 'EU-HOUSE', 'EU-INSURE', 'EU-MEDIA',
'EU-MID', 'EU-OIL', 'EU-REALESTATE', 'EU-RETAIL',
'EU-TECH', 'EU-TRAVEL', 'EU-UTILS', 'EUROSTX200-LARGE',
'US-DISCRETE', 'US-ENERGY', 'US-FINANCE', 'US-HEALTH',
'US-INDUSTRY', 'US-MATERIAL', 'US-STAPLES', 'US-TECH']
Cluster 2: Risk on mostly FX
Metals: ['PALLAD', 'PLAT']
FX: ['AUD', 'BRE', 'CAD', 'GBP', 'INR', 'IRS', 'MXP', 'NOK', 'NZD', 'RUR']
Equity: ['BOVESPA']
Sector: ['JP-REALESTATE', 'US-PROPERTY', 'US-REALESTATE', 'US-UTILS']
Cluster 3 (new): Italian bonds, Asian equity and FX
Bond: ['BTP', 'BTP3']
FX: ['KRWUSD']
Equity: ['FTSETAIWAN', 'KOSDAQ']
Cluster 4 (new): Asian equities, FX, Some energies
Equity: ['FTSECHINAA', 'FTSECHINAH', 'MSCIASIA']
OilGas: ['BRENT-LAST', 'CRUDE_W_mini', 'GASOILINE', 'HEATOIL']
Ags: ['BBCOMM']
FX: ['YENEUR']
Metals: ['COPPER']
Cluster 5: US/EU vol
Vol: ['V2X', 'VIX']
Cluster 6: Asian vol, Asian FX
Vol: ['VNKI']
FX: ['CNH', 'SGD']
Cluster 7: Random commodities, risk off
Equity: ['FTSEINDO']
OilGas: ['ETHANOL', 'GAS-LAST', 'GAS_US_mini']
Ags: ['BUTTER', 'CHEESE', 'CORN', 'COTTON', 'FEEDCOW',
'LEANHOG', 'LIVECOW', 'LUMBER', 'MILK', 'MILKDRY',
'MILKWET', 'OATIES', 'REDWHEAT', 'RICE', 'SOYBEAN',
'SOYMEAL', 'SOYOIL', 'WHEAT']
FX: ['CHF', 'CZK', 'EUR', 'EURCHF', 'SEK']
Metals: ['ALUMINIUM', 'BITCOIN', 'ETHEREUM', 'GOLD_micro', 'IRON', 'SILVER']
Cluster 8: Other bonds
Bond: ['BONO', 'CH10', 'JGB', 'KR10', 'KR3', 'OAT']
Cluster 9: German and US bonds
Bond: ['BOBL', 'BUND', 'BUXL', 'EDOLLAR', 'SHATZ',
'US10', 'US10U', 'US2', 'US20', 'US3', 'US30',
'US5', 'USIRS10', 'USIRS5', 'USIRS5ERIS']
FX: ['JPY']
Cluster 10: GBPEUR
FX: ['GBPEUR']
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