Have you looked at IT++ ? The documentation and feature list are quite compelling and applicable, given your question. Its development may have stalled, but is the primary C++ time series / signal processing library that is open source that I know of.
Otherwise, for straight-up linear algebra, both Armadillo and Eigen are good and actively maintained, and Armadillo can even be used along with IT++.
Last but not least, consider R and Octave both of which can also be extended with C++ code (see Rcpp for the R/C++ interface, and RcppArmadillo for an R/C++/Armadillo interface.
假设您正在寻找适合某些算法交易应用程序的库，您可以查看 Ta-库。它是用 C++ 编写的。我不知道它是否能够处理非常大的数据集，但它的性能很高。
Assuming your are looking for a library, suitable for some algorithmic trading application, you can take a look at Ta-Lib. It is written in C++. I do not know if it is capable of handling very large datasets but it is performant.
有有限的免费代码可以满足您的需要。事实上，一般来说，无论是免费的还是商业的代码都是有限的。 NAG 时间序列章节做了一些你需要什么，但它是商业软件和用 C 语言编写的。我认为，对于这类事情，C++ 相对于 C 来说优势相对较小（显然有争议，但对于这类问题，Fortran 比 C 更多，这就是说它所有...）
There is limited free code to do what you need. In fact there is limited code in general, free or commercial. NAG Time series chapter does some of what you need, but it's commercial software and written C. I would argue that for this sort of thing C++ has relatively little advantages over C (up to debate obviously, but there is more Fortran than C for this sort of problems, that says it all...)
There is some beta of a GPU aware NAG. In fact they are doing lots of work on that
还有其他人，但不认识他们。您需要的一些算法位于 C++ 标准库中，或者不像 n-avg 那样很难尽快编码）。 GPU 卸载将会很困难（特别是由于数据集大小，这可能会使其成为一个坏主意，多线程在上述库中是可能的。
Don't despair!
There is stuff out there, but your question is very general, in the sense that you might need several libraries to achieve your result.
GSL (GNU Scientific Library) has statistical functions...
FFTW (Fastest Fourier Transform in the West) lives up to its name, but if it meets your requirements... I don't know.
There are others, but don't know them. Some of the algorithms you need are in the C++ standard library, or aren't very hard to code as fast as possible like n-avg). GPU offloading is going to be difficult (especially due to the data set size, which will probably make it a bad idea, multi-threading is a possibility in the abovementioned libraries.
Vhayu has all the interesting stuff, amazing performance and compression abilities by former Intel engineers. Unfortunately having been bought by Reuters and now part of Thomson Reuters you aren't going to learn anything from their website:
发布评论
评论（8）
我真的认为以下链接可能会有所帮助。
old cronos
它是开源的，遵循 GPL 许可证。
I really think that the following link might help.
old cronos
It is open source and under the GPL license.
您看过 IT++ 吗？
文档和功能列表非常引人注目且适用。它的开发可能已经停滞，但它是我所知道的主要的开源 C++ 时间序列/信号处理库。
否则，对于直接线性代数，犰狳和Eigen 很好并且得到积极维护，Armadillo 甚至可以与 IT++ 一起使用。
最后但并非最不重要的一点是，考虑 R 和 Octave，它们都可以使用 C++ 代码进行扩展（请参阅 Rcpp< /a> 用于 R/C++ 接口，RcppArmadillo 用于 R/C++ /犰狳界面。
Have you looked at IT++ ?
The documentation and feature list are quite compelling and applicable, given your question. Its development may have stalled, but is the primary C++ time series / signal processing library that is open source that I know of.
Otherwise, for straight-up linear algebra, both Armadillo and Eigen are good and actively maintained, and Armadillo can even be used along with IT++.
Last but not least, consider R and Octave both of which can also be extended with C++ code (see Rcpp for the R/C++ interface, and RcppArmadillo for an R/C++/Armadillo interface.
英特尔的 IPP 可能值得一看。
Intel's IPP might be worth looking at.
假设您正在寻找适合某些算法交易应用程序的库，您可以查看 Ta-库。它是用 C++ 编写的。我不知道它是否能够处理非常大的数据集，但它的性能很高。
Assuming your are looking for a library, suitable for some algorithmic trading application, you can take a look at Ta-Lib. It is written in C++. I do not know if it is capable of handling very large datasets but it is performant.
有有限的免费代码可以满足您的需要。事实上，一般来说，无论是免费的还是商业的代码都是有限的。
NAG 时间序列章节做了一些你需要什么，但它是商业软件和用 C 语言编写的。我认为，对于这类事情，C++ 相对于 C 来说优势相对较小（显然有争议，但对于这类问题，Fortran 比 C 更多，这就是说它所有...）
有一些 GPU 感知 NAG 的测试版。事实上，他们正在这方面做了大量工作
There is limited free code to do what you need. In fact there is limited code in general, free or commercial.
NAG Time series chapter does some of what you need, but it's commercial software and written C. I would argue that for this sort of thing C++ has relatively little advantages over C (up to debate obviously, but there is more Fortran than C for this sort of problems, that says it all...)
There is some beta of a GPU aware NAG. In fact they are doing lots of work on that
不要绝望！
那里有一些东西，但你的问题非常笼统，因为你可能需要几个库来实现你的结果。
还有其他人，但不认识他们。您需要的一些算法位于 C++ 标准库中，或者不像 n-avg 那样很难尽快编码）。 GPU 卸载将会很困难（特别是由于数据集大小，这可能会使其成为一个坏主意，多线程在上述库中是可能的。
Don't despair!
There is stuff out there, but your question is very general, in the sense that you might need several libraries to achieve your result.
There are others, but don't know them. Some of the algorithms you need are in the C++ standard library, or aren't very hard to code as fast as possible like n-avg). GPU offloading is going to be difficult (especially due to the data set size, which will probably make it a bad idea, multi-threading is a possibility in the abovementioned libraries.
Vhayu 拥有由前英特尔工程师设计的所有有趣的东西、令人惊叹的性能和压缩能力。不幸的是，被路透社收购，现在成为汤森路透的一部分，您将无法从他们的网站上学到任何东西：
http://thomsonreuters.com/products_services/financial/financial_products/az/enterprise_platform_for_velocity_analytics/
因此，使用 Internet Archive 版本会好一点：
http://web.archive.org/web/20090322192616/http://www.vhayu.com/?
Vhayu has all the interesting stuff, amazing performance and compression abilities by former Intel engineers. Unfortunately having been bought by Reuters and now part of Thomson Reuters you aren't going to learn anything from their website:
http://thomsonreuters.com/products_services/financial/financial_products/a-z/enterprise_platform_for_velocity_analytics/
So have a little better luck with the Internet Archive version:
http://web.archive.org/web/20090322192616/http://www.vhayu.com/?
您可能想查看 q （又名 kdb+）。
它不是一个库，也不是 C++，但它做了很多类似的事情。
You might want to take a look at q (AKA kdb+).
It's not a library, and it's not C++, but it does a lot of that kind of stuff.