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},
}