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)

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@unpublished{edge2021,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}
}