bidask

MaRDI QIDQ109054CRANFDO

Authors 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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