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

Adam Ginensky @d@mno227 @end|ng |rom gm@||@com
Tue Jul 28 20:12:42 CEST 2020


To expand on what Brian said, imagine a very illiquid stock that just
trades once on the bid.  No range, but probably a very wide bid/ask spread.
On the other hand imagine a very liquid stock highly correlated to the
market on a day with a large range- still will have a small bid/ask spread.

On Tue, Jul 28, 2020 at 1:09 PM Brian G. Peterson <brian using braverock.com>
wrote:

> 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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>
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