FIN285a: Computer Simulations and Risk Assessment

Blake LeBaron

Fall 2011

Data Directory

Data set information

CRSP/Compustat/WRDS

This page is your starting point for both CRSP/Compustat/WRDS data and Global Insight data.

CRSP/Compustat data

1. Go to WRDS
2. Select series that you are interested in, and download.
3. Use space seperated txt format. Save the file, but give it a .dat extension.
4. Load the data into matlab.
5. Use the yyyymmdat.m program in finboot to convert the date into matlab date format.

Global Insight

1. Go to global insight webpage.
2. Look for the desired data series under DATA APPLICATIONS, export and save them as Excel files.
3. Read Excel file into MATLAB, and transfer string date into Matlab date. Key functions used include xlsread and datenum.
4. For example, I use the following short program to create four country index data (local currency version).

   [local_currency,text_local]=xlsread('daily_local$.xlsx'); 
   %numbers are stored into local_currency, characters are stored into text_local;
   date=text_local(:,1); % The first column of text is date;
   date=date(5:end); % values for date start from the fifth row;
   date=datenum(date); % transfer string dates into numerical dates;
   local_currency=[date,local_currency];
   

   Bloomberg

   As many of you may know we have access to several Bloomberg terminals.  These can
   also be used to retrieve financial data.  Jing Ren may be giving us a tutorial sometime.
   I will keep you posted.