[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 20:31:22 CEST 2020


Ajay,
The method you are proposing is easy to write, the authors flat out say
that they didn't really bother to check how accurate their measure is,
but what little checking they do gives highly *implausible* results.
 They also say that it only makes sense for liquid instruments (for
which intraday data is readily available anyway).  So I'm not sure this
makes the impossible any more possible.
Brian
On Tue, 2020-07-28 at 23:50 +0530, Ajay Shah wrote:
> 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
> > stocksusing Daily candlesticks.
> > Can anyone suggest some implemetations?
> > ThanksDiego_______________________________________________R-SIG-
> > Finance using r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.--
> > Also note that this is not the r-help list where general R
> > questionsshould go.

	[[alternative HTML version deleted]]



More information about the R-SIG-Finance mailing list