bidask

MaRDI QIDQ109054CRANFDO

Authors Emanuele Guidotti

Last update 13 October 2025

Copyright license MIT license, File License

Software version identifier 1.0.0, 0.1.0, 0.1.1, 1.0.0, 2.0.0, 2.0.2, PACKAGES.rds, 2.0.4, 2.0.6, 2.1.4, 2.1.5

Description

Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices described in Ardia, Guidotti, & Kroencke (JFE, 2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described in Roll (JF, 1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (JF, 2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (RFS, 2017) <doi:10.1093/rfs/hhx084>.

Cites work

• A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
• 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
• Efficient estimation of bid–ask spreads from open, high, low, and close prices

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