Finding subgroups in stock market using Affinity Propagation model
Affinity Propagation is a clustering algorithm that doesn't require us to specify the number of clusters beforehand. Because of its generic nature and simplicity of implementation, it has found a lot of applications across many fields. It finds out representatives of clusters, called exemplars, using a technique called message passing. We start by specifying the measures of similarity that we want it to consider. It simultaneously considers all training data points as potential exemplars. It then passes messages between the data points until it finds a set of exemplars.
The message passing happens in two alternate steps, called responsibility and availability. Responsibility refers to the message sent from members of the cluster to candidate exemplars, indicating how well suited the data point would be as a member of this exemplar's cluster. Availability refers to the message sent from candidate exemplars to potential members...
