edge_rolling: Rolling Estimates of Bid-Ask Spreads from Open, High, Low,...

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

Rolling Estimates of Bid-Ask Spreads from Open, High, Low, and Close Prices

Description

Implements a rolling window calculation of 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_rolling(open, high, low, close, width, sign = FALSE, na.rm = 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.
width	if an integer, the width of the rolling window. If a vector with the same length of the input prices, the width of the window corresponding to each observation. Otherwise, a vector of endpoints. See examples.
sign	whether to return signed estimates.
na.rm	whether to ignore missing values.

Details

Prices must be sorted in ascending order of the timestamp.

Value

Vector of spread estimates. A value of 0.01 corresponds to a spread of 1%. This function always returns a result of the same length as the input prices.

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 using a rolling window
s <- edge_rolling(x$Open, x$High, x$Low, x$Close, width = 21)
tail(s)

# estimate the spread using custom endpoints
ep <- c(3, 35, 100)
s <- edge_rolling(x$Open, x$High, x$Low, x$Close, width = ep)
s[c(35, 100)]
# equivalent to
edge(x$Open[3:35], x$High[3:35], x$Low[3:35], x$Close[3:35])
edge(x$Open[35:100], x$High[35:100], x$Low[35:100], x$Close[35:100])

# estimate the spread using an expanding window
s <- edge_rolling(x$Open, x$High, x$Low, x$Close, width = 1:nrow(x))
tail(s)
# equivalent to
s <- edge_expanding(x$Open, x$High, x$Low, x$Close, na.rm = FALSE)
tail(s)

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