Subject: correlation matrix reduction
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked]
Date: Thu, 12 Apr 2001 01:38:00 -0700 (PDT)

Zhiyang,

Got your message.  

As we discussed, the best way to breakdown the big correlation matrix between 
different location indices is through "cluster analysis".  The idea is to 
select major
hubs and the "satellite" markets.  By establish the correlation between the 
hubs
and correlation between the satellites and the hubs, the big matrix can be 
significantly
reduced.    Then the traders only need to input the correlations between the 
hubs.

This technique has been applied in our Value at Risk system.  You may talk to 
Tanya to find out the details. 

Zimin

PS: the wsprd code you requested.