Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2021).
Install this package with:
Load the library:
Arguments:
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%.
library("bidask")
df = read.csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
edge(df$Open, df$High, df$Low, df$Close)
Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, “Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices”. Available at SSRN: https://www.ssrn.com/abstract=3892335
A BibTex entry for LaTeX users is: