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

[diego peroni]

Thanks Brian and others!

I’m convinced that it’s not accurate but it can give me an idea of the magnitude in particular trading many stocks (global mean).

I’ve found just this post:

https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012 <https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012>

Regards
Diego



> On 28 Jul 2020, at 21:10, Alec Schmidt <aschmid1 using stevens.edu> wrote:
> 
> 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 <mailto:r-sig-finance-bounces using r-project.org>> on behalf of Brian G. Peterson <brian using braverock.com <mailto:brian using braverock.com>>
> Sent: Tuesday, July 28, 2020 2:31 PM
> To: Ajay Shah <ajayshah using mayin.org <mailto:ajayshah using mayin.org>>; diego peroni <diegoperoni1971 using gmail.com <mailto:diegoperoni1971 using gmail.com>>
> Cc: r-sig-finance <r-sig-finance using r-project.org <mailto: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 <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 <mailto: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 <mailto:Finance using r-project.org> mailing list
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