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correlation matrix in C# for use in NT?
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Created: by drolles Attachments:2

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correlation matrix in C# for use in NT?

  #1 (permalink)
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correlation matrix in C# for use in NT?

All,

Could someone help?

Has anyone seen a simple implementation of a linear correlation matrix for C# to use in NT?

Iíve found this so far: Linear correlation and statistical functions - CodeProject

I thought the c# implementation of QuantLib might help, but I canít seem to track it down (http://quantlib.org/docs.shtml)?

Cheers,

drolles

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  #2 (permalink)
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drolles View Post
All,

Could someone help?

Has anyone seen a simple implementation of a linear correlation matrix for C# to use in NT?

Iíve found this so far: Linear correlation and statistical functions - CodeProject

I thought the c# implementation of QuantLib might help, but I canít seem to track it down (http://quantlib.org/docs.shtml)?

Cheers,

drolles

The answer is already in the link that you found. Are you trying to take a 2D array as argument instead?

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  #3 (permalink)
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Hi,

Iíve managed to craft something using the link above.

It is a simple case of looking at the correlation of 2 instruments. But it is a starter. Code attached here.

It prints the correlations on the necessary timeframe.

Iíve also done an little bit of initial analysis on Gold (GC) vs. ES. Excel attached.

Cheers,

drolles

Attached Files
Register to download File Type: zip Correl.zip (1.8 KB, 36 views)
Register to download File Type: zip ES and GC Analysis v1.zip (610.5 KB, 29 views)
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  #4 (permalink)
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Just a note that I posted some R code for calculating and displaying correlation matrices here:

https://futures.io/matlab-r-type/29677-r-correlation-matrix-trading-products.html

If you want to use via R from a bridge.

Mike

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