bidask 2.0.1

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

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},
}