Description
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices.
Description
Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2024) <doi:10.1016/j.jfineco.2024.103916>. 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>.
README.md
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices.
Installation
Install this package with:
install.packages("bidask")
Usage
Load the library:
library("bidask")
Arguments:
edge(open, high, low, close, sign=FALSE)
| field | description |
|---|---|
open | Numeric vector of open prices |
high | Numeric vector of high prices |
low | Numeric vector of low prices |
close | Numeric vector of close prices |
sign | Whether signed estimates should be returned |
The input prices must be sorted in ascending order of the timestamp.
The output value is the spread estimate. A value of 0.01 corresponds to a spread of 1%.
Example
library("bidask")
df = read.csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
edge(df$Open, df$High, df$Low, df$Close)
Cite as
Ardia, D., Guidotti, E., Kroencke, T.A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. Journal of Financial Economics, 161, 103916. doi: 10.1016/j.jfineco.2024.103916
A BibTex entry for LaTeX users is:
@article{edge,
title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
journal = {Journal of Financial Economics},
volume = {161},
pages = {103916},
year = {2024},
doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
}