# 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:

``install.packages("bidask")``

## Usage

``library("bidask")``

Simulate a price process with spread 1%

``x <- sim(spread = 0.01)``

``edge(x\$Open, x\$High, x\$Low, x\$Close)``

By default this is equivalent to

``spread(x)``

Use a rolling window of 21 periods

``spread(x, width = 21)``

Compute the spread for each month

``````ep <- xts::endpoints(x, on = "months")
spread(x, width = ep)``````

Compute the critical values at 5% and 95%

``spread(x, probs = c(0.05, 0.95))``

Use multiple estimators

``spread(x, method = c("EDGE", "AR", "CS", "ROLL", "OHLC", "OHL.CHL", "GMM"))``

Full documentation available on CRAN

## 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``````@unpublished{edge2021,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}
}``````