bidask

bidask-package

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

internal

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>.

Emanuele Guidotti

Efficient Estimation of Bid-Ask Spreads from Open, High, Low,
and Close Prices

David Ardia

Tim Kroencke

bidask-package function

Maintainer: Emanuele Guidotti <a href="/link/emanuele.guidotti%40usi.ch?package=bidask&version=2.0.6" data-mini-rdoc="bidask::emanuele.guidotti@usi.ch">emanuele.guidotti@usi.ch</a> (<a href="https://orcid.org/0000-0002-8961-6623">ORCID</a>)
Other contributors:<ul>
<li>David Ardia (<a href="https://orcid.org/0000-0003-2823-782X">ORCID</a>) [contributor]</li>
<li>Tim Kroencke (<a href="https://orcid.org/0000-0001-8700-356X">ORCID</a>) [contributor]</li>
</ul>

Author

bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices — bidask-package

Maintainer: Emanuele Guidotti <a href='mailto:emanuele.guidotti@usi.ch'>emanuele.guidotti@usi.ch</a> (<a href='https://orcid.org/0000-0002-8961-6623'>ORCID</a>)
Other contributors:<ul>
<li>David Ardia (<a href='https://orcid.org/0000-0003-2823-782X'>ORCID</a>) [contributor]</li>
<li>Tim Kroencke (<a href='https://orcid.org/0000-0001-8700-356X'>ORCID</a>) [contributor]</li>
</ul>

bidask-package: bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Description

Arguments

Author

See Also