Relation between Financial Market Structure and the Real Economy: Comparison between Clustering Methods
Fig 6
Demonstration that different clustering methods retrieve different amount of industrial sector information.
The Adjusted Rand Index ℛadj between clustering and ICB supersectors is shown for different number of clusters Ncl. In a) correlations are calculated on non-detrended log-returns, in b) are calculated on detrended log-returns. The vertical dashed line shows the value (Ncl = 19) correspondent to the actual number of ICB supersectors.