Code

My publicly available code is distributed through GitHub.

Standard errors in Python

Examples for regression standard errors in Python with statsmodels and linearmodels.

The Market Empirical Analysis Toolbox for Python

The goal of this project is to provide a standard framework for processing and analysing high-frequency financial data.

MeatPy currently supports Nasdaq ITCH 5.0. It can easily be adapted to process event-time data from multiple financial exchanges and formats.

[See the code on GitHub]