devicemxl / dxm-bidask

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

This repository implements an efficient estimation procedure of the bid-ask spread from Open, High, Low, and Close prices as proposed in Ardia, Guidotti, Kroencke (2021)

Available in:

• R
• Python
• MATLAB
• SAS
• Julia
• C++

You can also check the pseudocode to implement the estimator in any programming language.

Cite as

Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices". Available at SSRN: https://ssrn.com/abstract=3892335

A BibTex entry for LaTeX users is:

@unpublished{edge2021,
    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
    year   = {2021},
    note   = {Available at SSRN}
    url    = {https://ssrn.com/abstract=3892335}
}