In 1931, Alfred Cowles, the head of an investment service in Colorado Springs, founded the Cowles Commission for Economic Research to investigate forecasting techniques; the 1929 stock market crash was a testament to the failure of existing forecast methods. The original commission staff included Irving Fisher, the Yale economist, and Harold T. Davis, professor of mathematics at Indiana University and a Colorado College graduate.

The commission early on established close ties with Colorado College where they maintained a statistical laboratory (Martha Belschner from the mathematics department did considerable work for this laboratory) and held annual month-long conferences attracting various distinguished mathematicians with interests in economics. Statisticians such as Abraham Wald and Harold Hotelling attended these conferences, and in July of 1936, the influential English statistician R.A. Fisher joined the conference.

Other research conducted by the Cowles Commission included an investigation into factors affecting the morbidity of tuberculosis (very relevant to Colorado College, given how many of its early faculty had come to Colorado Springs for medical reasons). This study reached the conclusion that two factors have equal weight in the cure of tuberculosis: income, and a dry sunny climate. (Thus a poor person in Colorado has the same chances of recovery as a rich person in New York.)

Because of the remote location, the Cowles Commission had trouble in 1937 finding a director. After operating for two years without one, the Commission in September of 1939 relocated to Chicago where they connected with the University of Chicago.