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Recommended math/statistics library for C# Expand / Collapse
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Posted 8/19/2008 4:07:21 PM Post #6407
 

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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 7:03:03 PM Post #6411
 

Supreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme Being
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 Yahoo group about applying RE.

Posted 8/19/2008 7:05:17 PM Post #6412
 

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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 AM Post #6533
 

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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 8:43:34 AM Post #6547
 

Supreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme Being
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 Yahoo group about applying RE.

Posted 9/1/2008 9:41:00 AM Post #6548
 

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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 8:18:14 AM Post #6567
 

Supreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme BeingSupreme Being
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 Yahoo group about applying RE.

Posted 1/2/2010 11:54:48 PM Post #10401
 

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There's also NMath from CenterSpace Software.
Posted 1/6/2012 9:06:39 PM Post #13857
 

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Here are a few more for the record.

http://www.componentsource.com/products/nmath-suite/index.html

http://www.centerspace.net/blog/tag/net-math-library/

http://www.cdrnet.net/projects/nmath/
Posted 1/10/2012 2:03:52 PM Post #13886
 

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Hi,

And there's this:

http://www.mathdotnet.com/

Regards,

Dave

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