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

Project description

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

Implements an efficient estimation procedure of the bid-ask spread from Open, High, Low, and Close prices as proposed in Ardia, Guidotti, Kroencke (2021): https://www.ssrn.com/abstract=3892335

Installation

Install this package with:

pip install bidask

Usage

Import the estimator

from bidask import edge

Estimate the spread

edge(open, high, low, close)
  • open: array-like vector of Open prices.
  • high: array-like vector of High prices.
  • low: array-like vector of Low prices.
  • close: array-like vector of Close prices.

Prices must be sorted in ascending order of the timestamp.

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@unpublished{edge2021,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}
}

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