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PostPosted: Sun Apr 15, 2012 5:44 pm 
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Joined: Tue Feb 07, 2012 2:24 pm
Posts: 48
I have spent all of last week reading papers on the theory of cointegration and trying to understand the math behind it. I have my head around the concept and see its value add, but for the life of me can not find an example of it being calculated or how exactly to calculate it.

Does anyone know of a c# library to calculate cointegration, or can anyone provide an example on how to go about calculating it so i can write a library?

Any guidance is much appreciated.


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PostPosted: Thu May 31, 2012 9:59 am 
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Joined: Wed Jun 22, 2011 7:37 pm
Posts: 22
Try this link http://www.quantcode.com/modules/mydown ... 15&lid=579

There's a great deal of sample C# code on the blog that seems to be pretty well developed.


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