7 tools
Kevin Sheppard · High-frequency financial analysis
Kevin Sheppard's Python package for univariate ARCH/GARCH volatility models, bootstraps, multiple-comparison procedures, unit-root and cointegration tests
ClickHouse, Inc. · Analytical engines & OLAP
Open-source columnar OLAP database server for fast aggregations over billions of rows, with MergeTree storage, SQL and a managed ClickHouse Cloud
DuckDB Foundation / DuckDB Labs · Analytical engines & OLAP
In-process analytical SQL database that queries Parquet, CSV and Arrow data directly from Python, R, Node or the CLI
Kevin Sheppard · Econometrics & causal inference
Python package by Kevin Sheppard adding panel data, instrumental-variable, system (SUR/3SLS) and asset-pricing estimators missing from statsmodels
Polars (Ritchie Vink and contributors) · DataFrames & array computing
Rust-based DataFrame library with Python, Rust, Node and R bindings offering lazy query optimization, multithreading and Arrow-native memory
statsmodels developers (NumFOCUS) · Econometrics & causal inference
Python library for estimating statistical and econometric models with R-style formulas, rich result summaries and tests: OLS, GLM, discrete choice, ARIMA, state space, VAR and more
Tiger Data (formerly Timescale) · Relational databases
PostgreSQL extension for time-series data adding hypertables, compression and continuous aggregates, from the company now named Tiger Data
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