EDGE: Efficient Estimation of Bid-Ask Spreads from Open, High, Low,...

In 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

Description

Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices described in Ardia, Guidotti, & Kroencke (JFE, 2024): \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jfineco.2024.103916")}

Usage

edge(open, high, low, close, sign = FALSE)

Arguments

open	numeric vector of open prices.
high	numeric vector of high prices.
low	numeric vector of low prices.
close	numeric vector of close prices.
sign	whether to return signed estimates.

Details

Prices must be sorted in ascending order of the timestamp.

Value

The spread estimate. A value of 0.01 corresponds to a spread of 1%.

References

Ardia, D., Guidotti, E., Kroencke, T.A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. Journal of Financial Economics, 161, 103916. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jfineco.2024.103916")}

Examples

# reduce number of threads to pass CRAN checks (you can ignore this)
data.table::setDTthreads(1)

# simulate open, high, low, and close prices with spread 1%
x <- sim(n = 1000, spread = 0.01)

# estimate the spread
edge(x$Open, x$High, x$Low, x$Close)

bidask documentation built on April 3, 2025, 8:49 p.m.