Hello James (and Thomas),
It might be helpful to get a better feel for the technical details here. There is a reference given on http://scikit-learn.org/stable/modules/generated/sklearn.cluster.AffinityPropagation.html#sklearn.cluster.AffinityPropagation:
Brendan J. Frey and Delbert Dueck, “Clustering by Passing Messages Between Data Points”, Science Feb. 2007
A Google search on the title yields numerous hits with PDF links to the paper (e.g. www.psi.toronto.edu/affinitypropagation/FreyDueckScience07.pdf).
One thought is to get a feel for how clustering changes versus time. For example, if the list of securities in a cluster is stable versus time and then one of the securities (e.g. XYZ) drops out of the cluster, perhaps it would be a signal that XYZ should be bought/sold?
Another thought is that perhaps the algorithm could be useful in constructing and periodically re-balancing a diversified portfolio?