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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 estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2021).

Installation

Install this package with:

pip install bidask

Usage

Import the estimator:

from bidask import edge

Arguments:

edge(open, high, low, close, sign=False)
field description
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
sign Whether signed estimates should be returned

The input prices must be sorted in ascending order of the timestamp.

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

Example

import pandas as pd
from bidask import edge

df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
edge(df.Open, df.High, df.Low, df.Close)

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@unpublished{edge2021,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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