Functions edge, edge_rolling, edge_expanding | Function spread | GitHub | Cite as
Package: bidask 2.1.5
Emanuele Guidotti
bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices described in Ardia, Guidotti, & Kroencke (JFE, 2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described in Roll (JF, 1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (JF, 2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (RFS, 2017) <doi:10.1093/rfs/hhx084>.
Authors:
bidask_2.1.5.tar.gz
bidask_2.1.5.zip(r-4.7)bidask_2.1.5.zip(r-4.6)bidask_2.1.5.zip(r-4.5)
bidask_2.1.5.tgz(r-4.6-any)bidask_2.1.5.tgz(r-4.5-any)
bidask_2.1.5.tar.gz(r-4.7-any)bidask_2.1.5.tar.gz(r-4.6-any)
bidask_2.1.5.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
bidask/json (API)
| # Install 'bidask' in R: |
| install.packages('bidask', repos = c('https://eguidotti.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/eguidotti/bidask/issues
Last updated from:1caba55d63. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 193 | ||
| source / vignettes | OK | 175 | ||
| linux-release-x86_64 | OK | 211 | ||
| macos-release-arm64 | OK | 96 | ||
| macos-oldrel-arm64 | OK | 110 | ||
| windows-devel | OK | 114 | ||
| windows-release | OK | 131 | ||
| windows-oldrel | OK | 106 | ||
| wasm-release | OK | 155 |
Exports:edgeedge_expandingedge_rollingsimspread
Dependencies:data.table
