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

[Alec Schmidt]

Brian,
You're right, of course. But the Roll's model was an influential work in 1980s when the bid/ask prices were not easily available (if at all). But the transactional prices were available ( 'time and sales' tapes). So, this model was a nice and useful theoretical exercise. 🙂
Alec

________________________________
From: R-SIG-Finance <r-sig-finance-bounces using r-project.org> on behalf of Brian G. Peterson <brian using braverock.com>
Sent: Tuesday, July 28, 2020 2:31 PM
To: Ajay Shah <ajayshah using mayin.org>; diego peroni <diegoperoni1971 using gmail.com>
Cc: r-sig-finance <r-sig-finance using r-project.org>
Subject: Re: [R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

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://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2Ffull%2F10.1111%2Fj.1540-6261.1984.tb03897.x&data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&sdata=JSCJrQC%2BusDDIDvf7eTfJVhSakzms4AprrQ4IqHxu2s%3D&reserved=0
>
> ?
> 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
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