Create clusters using correlation matrix in Python

Question

all, I have a correlation matrix of 21 industry sectors. Now I want to split these 21 sectors into 4 or 5 groups, with sectors of similar behaviors grouped together.

Can experts shed me some lights on how to do this in Python please? Thanks much in advance!

Answer 1

You might explore the use of Pandas DataFrame.corr and the scipy.cluster Hierarchical Clustering package

import pandas as pd
import scipy.cluster.hierarchy as spc


df = pd.DataFrame(my_data)
corr = df.corr().values

pdist = spc.distance.pdist(corr)
linkage = spc.linkage(pdist, method='complete')
idx = spc.fcluster(linkage, 0.5 * pdist.max(), 'distance')