correlation matrix in C# for use in NT?

September 7th, 2013, 06:59 PM

All,

Could someone help?

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

I’ve found this so far: Linear correlation and statistical functions - CodeProject

I thought the c# implementation of QuantLib might help, but I can’t seem to track it down (https://www.quantlib.org/docs.shtml)

Cheers,

drolles

September 7th, 2013, 08:15 PM

drolles

All,

Could someone help?

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

I’ve found this so far: Linear correlation and statistical functions - CodeProject

I thought the c# implementation of QuantLib might help, but I can’t seem to track it down (https://www.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?

September 15th, 2013, 05:46 AM

Hi,

I’ve 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.

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

Cheers,

drolles

November 26th, 2013, 07:31 PM

Just a note that I posted some R code for calculating and displaying correlation matrices here:

R Correlation matrix for trading products

Here is some code I wrote to generate a correlation matrix and plot for a list of symbols. In my example, I am pulling the data out of my database, but you could also use the quantmod library and getSymbols() function to get the data from a public source …

If you want to use via R from a bridge.

Mike

correlation matrix in C# for use in NT?

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correlation matrix in C# for use in NT?