There are some other questions:
1. Is the declaration
var Correlations[NN][NN]
equal to
var Correlations[NN * NN] ?
I thought that Correlations[NN][NN] defines a 2-dimensonal variable for use as Correlations[0][0], Correlations[0][1] etc.? In the financial hacker script Correlations is defined this way but used as a 1-dimensioal variable with
Correlations[N*i+j] = Correlation(Returns[i],Returns[j],LookBack)
2. plotHeatmap()
Correlation ranges from -1 to 1 but plotHeatmap() only from 0..1, so
function main() {
...
Correlations[0] = 1;
Correlations[1] = 0;
Correlations[2] = -0.5;
Correlations[3] = -1;
plotHeatmap("Correlation",Correlations,2,2);
}
leads to
Isn't it a bit confusing to display the whole spectrum from 0 (no correlation) to -1 (perfect negative correlation) with the same color?
Thanks, Sphin