可以使用re.sub提取列名的相应部分，并将其替换为：

import re

df=pd.DataFrame(columns=['(NYSE_close, close)','(NYSE_close, open)','(NYSE_close, volume)', '(NASDAQ_close, close)','(NASDAQ_close, open)','(NASDAQ_close, volume)'])
df.columns = [re.sub(r'\(([^_]+_)\w+, (\w+)\)', r'\1\2', c) for c in df.columns]

输出：

Empty DataFrame
Columns: [NYSE_close, NYSE_open, NYSE_volume, NASDAQ_close, NASDAQ_open, NASDAQ_volume]
Index: []

您可以：

import re

def cvt_col(x):
    s = re.sub('[()_,]', ' ', x).split()
    return s[0] + '_' + s[2] 

df.rename(columns = cvt_col)

Empty DataFrame
Columns: [NYSE_close, NYSE_open, NYSE_volume, NASDAQ_close, NASDAQ_open, NASDAQ_volume]
Index: []

使用列表解析，两次：

step1 = [ent.strip('()').split(',') for ent  in df]

df.columns = ["_".join([left.split('_')[0], right.strip()]) 
              for left, right  in step1]

df

Empty DataFrame
Columns: [NYSE_close, NYSE_open, NYSE_volume, NASDAQ_close, NASDAQ_open, NASDAQ_volume]
Index: []