bidask

CRANbidaskMaRDI QIDQ109054

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Emanuele Guidotti

Last update: 17 December 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 1.0.0, 0.1.0, 0.1.1, 1.0.0, 2.0.0, 2.0.2

Description

Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2021) <https://www.ssrn.com/abstract=3892335>. It also provides an implementation of the estimators described in Roll (1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (2017) <doi:10.1093/rfs/hhx084>.

Cites work

• A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market
• A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices
• A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

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