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

Brian G. Peterson br|@n @end|ng |rom br@verock@com
Tue Jul 28 20:09:03 CEST 2020


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


	[[alternative HTML version deleted]]



More information about the R-SIG-Finance mailing list