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Enron Mail |
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.
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