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

Jasen Mackie j@ymon0703 @end|ng |rom gm@||@com
Tue Jul 28 20:41:48 CEST 2020


I am not aware of any bid-ask spread estimators in R. I would be interested
to know the intention with estimated bid-ask spreads (and how they compare
with actual spreads) as they do sound dangerous if they were to be used in
any system/model. The quoted papers are quite old, one dating back to 1984.
The need for estimating bid-ask spreads was likely more necessary then than
it is now when you can easily extract and store this information if you
have access to the data.

On Tue, 28 Jul 2020 at 14:21, Ajay Shah <ajayshah using mayin.org> 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 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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