Extraction of financial time series or cross-sectional data from open sources is one of the challenges of any academic analysis. While several years ago, the accessibility of public data for financial analysis was very limited, in recent years, more and more open access databases are available, providing huge opportunities for quantitative analysts in any field.

In this section, we will present the Quandl and quantmod packages, two specific tools that can be used to seamlessly access and load financial data in the R environment. We will lead you through two examples to showcase how these tools can help financial analysts to integrate data directly from sources without any prior data management.

Quandl is an open source website for financial time series, indexing over millions of financial, economic, and social datasets from 500 sources. The Quandl package interacts directly with the Quandl API to offer data in a number of formats usable in R. Besides downloading...