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://quantlib.org/docs.shtml)?

Cheers,

drolles

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://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?

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

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