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A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

diego peroni 
Hi All,

I?m looking for a function in R to estimate Bid/Ask Spreads of stocks using Daily candlesticks.

Can anyone suggest some implemetations?

Thanks
Diego

Thread (10 messages)

diego peroni A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 Brian G. Peterson A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 Henrique Ramos A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 Adam Ginensky A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 Ajay Shah A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 Brian G. Peterson A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 Jasen Mackie A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 Alec Schmidt A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 28 diego peroni A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 29 Ajay Shah A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices Jul 29