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K-Means Algorithm Python Example | Finance Train

K-Means Algorithm Python Example

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In this post, we will provide an example of the implementation of the K-Means algorithm in python. This K-Means algorithm python example consists of clustering a dataset that contains information of all the stocks that compose the Standard & Poor Index.

This example contains the following five steps:

Obtain the 500 tickers for the SPY & 500 by scrapping the tickers symbols from Wikipedia. The function obtain_parse_wike_snp500() conduct this task.
Obtain closes prices from last year for each of the symbols using the Quandl API
Calculate mean and variance of the returns for each stock
Choose the best k value for the cluster the dataset
Fit the model with the k number of cluster