The MySQL database server is very popular for its openness, robustness, and speed. Matlab is a wonderful commercial product for scientific and technical computing. Using them together is a great tool for quantitative data analysis. You can do this using the Matlab Database Toolbox, but it is more efficient to connect directly using the APIs for both products. This code implements that connection, with a fairly rich framework for handling data conversion, especially dates and times.

http://cims.nyu.edu/~almgren/mysql/
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