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I have been given time series of N stock prices and time series of K sectoral indices. (Sectoral index is index made from all stocks belonging to that sector.) I have not been given names of any of those stocks or indices. I want to know which stocks belong to the same sector and sectoral indices. I am able to cluster the stocks. But how should I decide which sectoral index time series they correspond to? Should I just cluster stocks and indices together (N+K timeseries) instead of clustering N stocks independently? Will that be correct approach?

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  • $\begingroup$ So the sectoral index time-series is a sum of the individual stock price time-series ? Do you have the complete set of time-series of each sectoral index? $\endgroup$
    – Jon Nordby
    Commented Mar 25, 2023 at 13:22
  • $\begingroup$ Sectoral index might not simply be plain sum of individual stocks. Exchanges usually use some kind of formula, for example the one stated here. For all stocks and indices, I have same number of data points. $\endgroup$
    – RajS
    Commented Mar 25, 2023 at 14:30

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