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

[Ajay Shah]

perhaps something like:

https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1984.tb03897.x

?

is easy to write.


On Tue, 28 Jul 2020 at 23:10, diego peroni <diegoperoni1971 using gmail.com>
wrote:

> 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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-- 
Ajay Shah
ajayshah using mayin.org
http://www.mayin.org/ajayshah

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