[R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

[Brian G. Peterson]

On Tue, 2020-07-28 at 19:40 +0200, diego peroni wrote:
> I’m looking for a function in R to estimate Bid/Ask Spreads of stocks using Daily candlesticks.
> 
> Can anyone suggest some implemetations?


Diego,

I would like to help you, but what you are asking for is simply impossible.

Daily Range, Volume, and Volatility tells you nothing about the intraday numbers except their upper/lower bounds.

It certainly doesn't tell you anything about intraday spreads.

You can certainly *guess* that less liquid instruments have larger effective spreads, since this is usually the case, but you can't know *what* the spread is from daily data.

Brian


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