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

[Henrique Ramos]

Hi there,

You can calculate the Corwin-Schultz (CS) spread estimator.
https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.2012.01729.x

One of the authors provides spreadsheets with calculations in Excel. It
should not take much effort to put in R.

You should notice that low-frequency proxies are highly subject to
estimation errors.

Em ter., 28 de jul. de 2020 às 14:40, diego peroni <
diegoperoni1971 using gmail.com> escreveu:

> Hi All,
>
> I’m looking for a function in R to estimate Bid/Ask Spreads of stocks
> using Daily candlesticks.
>
> Can anyone suggest some implemetations?
>
> Thanks
> Diego
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-- 
--
Henrique P. Ramos

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