How can I do a hierarchical clustering with correlation as distance?
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I have a set of monthly financial returns data for a few stocks. I have also computed the pairwise correlation between all these. I am told to do a hierarchical cluster analysis to assign these stocks to groups so as to minimize the average within group distance between group members. Distance is to be measured as 1 minus the correlation coefficient between the two stock returns.
I have found the matlab function clusterdata which also supports 'distance' with the option 'correlation' that explains: One minus the sample correlation between points (treated as sequences of values)
I cannot understand how I can pass my data to this function and that 'sequence of values' to be passed. Should I pass the correlations or the raw data? And how am I to extract groupings for each stock?
Thank you
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