Data Science, Finance, Portfolio Management, Information Theory, Trading.
Phillips (COP.N), our clustering algorithm returns a list of the most correlated assets: The price (top panel) and volatility (bottom panel) time series of COP.N, CVX.N, OXY.N, HAL.N, XOM.N, SLB.N and KMI.N As expected, the group of the most correlated assets (CVX.N, OXY.N, HAL.N, XOM.N, SLB.N,