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 as described in Ardia, Guidotti, & Kroencke (2021).

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, 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:

@unpublished{edge2021,
    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
    year   = {2021},
    note   = {Available at SSRN}
    url    = {https://www.ssrn.com/abstract=3892335}
}