bidask (version 2.1.4)

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

Description

Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices described in Ardia, Guidotti, & Kroencke (JFE, 2024): tools:::Rd_expr_doi("10.1016/j.jfineco.2024.103916")

Usage

edge(open, high, low, close, sign = FALSE)

Value

The spread estimate. A value of 0.01 corresponds to a spread of 1%.

Arguments

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 to return signed estimates.

Details

Prices must be sorted in ascending order of the timestamp.

References

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. tools:::Rd_expr_doi("10.1016/j.jfineco.2024.103916")

Examples

# reduce number of threads to pass CRAN checks (you can ignore this)
data.table::setDTthreads(1)

# simulate open, high, low, and close prices with spread 1%
x <- sim(n = 1000, spread = 0.01)

# estimate the spread
edge(x$Open, x$High, x$Low, x$Close)