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.
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, 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. doi: 10.1016/j.jfineco.2024.103916
A BibTex entry for LaTeX users is:
@article{edge,
title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
journal = {Journal of Financial Economics},
volume = {161},
pages = {103916},
year = {2024},
doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
}
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