Assuming that you have the licence to SAS/OR, you can do this:
/* Random assignment of 20 Stocks in 4 clusters over 3 months */
data have;
call streaminit(56456);
do stock = 1 to 20;
do month = 1 to 3;
clust = rand("integer", 4);
output;
end;
end;
run;
/* List the stocks that share the same cluster each month */
proc sql;
create table pairs as
select
a.month,
a.stock as stock1,
b.stock as stock2
from
have as a inner join
have as b on a.month=b.month and a.clust=b.clust and a.stock < b.stock;
create table stablePairs as
select
stock1, stock2
from pairs
group by stock1, stock2
having count(*) = (select count(distinct month) from have);
quit;
/* Find the groups of stocks that are always found together */
/* Note: proc optnet is part of SAS/OR */
proc optnet data_links=stablePairs direction=undirected;
data_links_var from=stock1 to=stock2;
clique out=stableGroups(rename=(clique=group node=stock));
run;
/* For example, stocks 4, 7 and 10 are always found in the same cluster */
proc print noobs data=stableGroups; run;
group stock
1 3
1 6
2 4
2 7
2 10
3 5
3 15
4 17
4 18
... View more
