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@unpublished{edge2021,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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