Recommended math/statistics library for C#

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Recommended math/statistics library for C#

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Posted 8/19/2008 16:07:21

Post #6407

rsheftel

As I transition to C# as part of moving to RightEdge, I wanted to get people's recommendations for a good all purpose math-statistics library in C#. I have used R in the past for statistics work, and it is great and seems market standard. For financial math I use FinCAD.

I am looking for the equivalent of a standard math-statistics package for C# to use with RightEdge. Any and all suggestions are welcome. I have run across http://www.gnu.org/software/gsl/ the GNU Statistical Library, but before I commit to something I wanted to get people's suggestions.

Posted 8/19/2008 19:03:03

Post #6411

phg

Good question. I am not aware of open source libraries, but commercially there is http://www.extremeoptimization.com/ . I have not used any of their stuff and know nothing about it.

-Pete
(See also rightedge-ats Yahoo group )

Posted 8/19/2008 19:05:17

Post #6412

billb

I'm a little green in the arena as well, but some folks I've talked to still like MatLab. They allegedly have COM interfaces, so it can be used with RightEdge.

Posted 8/31/2008 10:11:26

Post #6533

rsheftel

After much investigation and googling I found the following:

http://www.gnu.org/software/gsl/

http://www.extremeoptimization.com/

http://www.alglib.net/

http://www.sciencecode.com/

http://www.nag.co.uk/netdevelopers.asp

http://root.cern.ch/

http://ta-lib.org/

And if you want to bridge C#<>Java

http://commons.apache.org/math/

And this was a useful site for searching:

http://commons.apache.org/math/userguide/index.html

Posted 9/1/2008 08:43:34

Post #6547

phg

Wow. Nice work. I see C# support is stll slim (or pricey): just 2 free libraries. If you (or anyone) picks one of these to experiment with it would be nice to hear about your experience.

-Pete
(See also rightedge-ats Yahoo group )

Posted 9/1/2008 09:41:00

Post #6548

rsheftel

We used the Apache Math Commons and JuggerNET (to connect Java to C#). Works well for our needs. Has all of the basic math and stats one would need for trading (mean, standard deviation, etc).

For any slower or batch processesing, you cannot beat R (which links to C# very easily)

Probably going to try the GNU if the Apache ends up lacking.

Posted 9/2/2008 08:18:14

Post #6567

phg

Had not heard of JuggerNet before, but that looks like a very cool tool enabling use of Java libraries. For stable libraries especially; convert once and you are all set. Neat.

-Pete
(See also rightedge-ats Yahoo group )

Posted 1/2/2010 23:54:48

Post #10401

misfeldt