Computing

MATLAB resources

Code

  • fred2read (Read data from the federal reserve data server directly into MATLAB)

R resources

Code

Other

Data sources

Free

  • Yahoo
    Free financial data (click on ``Historical Prices" when viewing a ticker). Use sqq() to import the data.
  • fred2
    Data portal of the Federal Reserve of St. Louis. Mostly macro, but some financial data, as well. Use fred2read() to import the data.
  • Further central bank data: New York Fed, ECB, Bundesbank, SNB
  • data.gov
    Open data portal of the federal US government.
  • Worldbank
    International economic data. Use getWbData() to import the data.
  • quandl
    A portal for economics and finance data, not all data is free. Not very well structured. Proprietary MATLAB interface (requires free registration).
  • freelunch
    A portal for economics and finance data, not all data is free. Not very well structured. Proprietary MATLAB interface (requires free registration).

Commercial

  • crbtrader.com
    Low-cost financial data, including futures and options, mostly US

About

Peter H. Gruber is a postdoctoral research fellow at the Università della Svizzera Italiana (USI) at Lugano, Switzerland. His research interests include asset pricing, especially risk premia, affine models, numerical methods and applications of high-performance computing in finance and economics.