A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
Brian, You're right, of course. But the Roll's model was an influential work in 1980s when the bid/ask prices were not easily available (if at all). But the transactional prices were available ( 'time and sales' tapes). So, this model was a nice and useful theoretical exercise. ? Alec
From: R-SIG-Finance <r-sig-finance-bounces at r-project.org> on behalf of Brian G. Peterson <brian at braverock.com>
Sent: Tuesday, July 28, 2020 2:31 PM
To: Ajay Shah <ajayshah at mayin.org>; diego peroni <diegoperoni1971 at gmail.com>
Cc: r-sig-finance <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
Sent: Tuesday, July 28, 2020 2:31 PM
To: Ajay Shah <ajayshah at mayin.org>; diego peroni <diegoperoni1971 at gmail.com>
Cc: r-sig-finance <r-sig-finance at r-project.org>
Subject: Re: [R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
Ajay, The method you are proposing is easy to write, the authors flat out say that they didn't really bother to check how accurate their measure is, but what little checking they do gives highly *implausible* results. They also say that it only makes sense for liquid instruments (for which intraday data is readily available anyway). So I'm not sure this makes the impossible any more possible. Brian On Tue, 2020-07-28 at 23:50 +0530, Ajay Shah wrote: > perhaps something like: > https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2Ffull%2F10.1111%2Fj.1540-6261.1984.tb03897.x&data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&sdata=JSCJrQC%2BusDDIDvf7eTfJVhSakzms4AprrQ4IqHxu2s%3D&reserved=0 > > ? > is easy to write. > > On Tue, 28 Jul 2020 at 23:10, diego peroni <diegoperoni1971 at gmail.com > >wrote: > > Hi All, > > I?m looking for a function in R to estimate Bid/Ask Spreads of > > stocksusing Daily candlesticks. > > Can anyone suggest some implemetations? > > ThanksDiego_______________________________________________R-SIG- > > Finance at r-project.org mailing list > > https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&sdata=4u%2BnhRnGdruFMjmzD9AosEgMVwFly7tyNsaaeERLmIM%3D&reserved=0 > > -- Subscriber-posting only. If you want to post, subscribe first.-- > > Also note that this is not the r-help list where general R > > questionsshould go. [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance at r-project.org mailing list https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&sdata=4u%2BnhRnGdruFMjmzD9AosEgMVwFly7tyNsaaeERLmIM%3D&reserved=0 -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.