correlation matrix reduction 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 .