Package: bidask 2.1.4

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:Emanuele Guidotti [aut, cre], David Ardia [ctb], Tim Kroencke [ctb]

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bidask.pdf |bidask.html
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

On CRAN:

Conda:

finance

6.99 score 109 stars 6 scripts 647 downloads 5 exports 1 dependencies

Last updated 1 months agofrom:d642e02055. Checks:9 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 28 2025
R-4.5-winOKMar 28 2025
R-4.5-macOKMar 28 2025
R-4.5-linuxOKMar 28 2025
R-4.4-winOKMar 28 2025
R-4.4-macOKMar 28 2025
R-4.4-linuxOKMar 28 2025
R-4.3-winOKMar 28 2025
R-4.3-macOKMar 28 2025

Exports:edgeedge_expandingedge_rollingsimspread

Dependencies:data.table

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

Rendered frombidask.Rmdusingknitr::rmarkdownon Mar 28 2025.

Last update: 2025-02-26
Started: 2023-09-06