Financial Econometrics Python Packages

arch

ARCH models in Python

hurst

Hurst exponent evaluation and R/S-analysis in Python

cfad

Research software for empirical characteristic-function analysis of distributional change in financial return series

mfdro

Python package for reproducible point-in-time multi-frequency distribution disagreement in distributionally robust optimization.

robust-eventstudy

Dependence-robust inference toolkit for heavy-tailed cross-asset event studies

fin-econ-scaling-laws

Package for estimating how forecasting performance scales with model size and training compute. It can be used to apply scaling-law methods to economics, finance, panel, and time-series data.