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

[Ajay Shah]

These methods are also useful in studying the past, where good datasets are
unavailable. As an example, when Corwin/Schultz first came out, I had
written
https://blog.theleapjournal.org/2012/04/new-insights-into-events-on-indian.html


On Wed, 29 Jul 2020 at 13:05, diego peroni <diegoperoni1971 using gmail.com>
wrote:

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

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