This repository implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2021).
Available in:
You can also check the pseudocode to implement the estimator in any programming language.
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@unpublished{edge2021, author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim}, title = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close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} }