A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
Thanks Brian and others! I?m convinced that it?s not accurate but it can give me an idea of the magnitude in particular trading many stocks (global mean). I?ve found just this post: https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012 <https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012> Regards Diego
On 28 Jul 2020, at 21:10, Alec Schmidt <aschmid1 at stevens.edu> wrote: 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 <mailto:r-sig-finance-bounces at r-project.org>> on behalf of Brian G. Peterson <brian at braverock.com <mailto:brian at braverock.com>> Sent: Tuesday, July 28, 2020 2:31 PM To: Ajay Shah <ajayshah at mayin.org <mailto:ajayshah at mayin.org>>; diego peroni <diegoperoni1971 at gmail.com <mailto:diegoperoni1971 at gmail.com>> Cc: r-sig-finance <r-sig-finance at r-project.org <mailto: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 <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 <mailto: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 <mailto: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 <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.
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