Package: bidask 2.0.6

Emanuele Guidotti

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

Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described in Roll (1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (2017) <doi:10.1093/rfs/hhx084>.

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

bidask_2.0.6.tar.gz
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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'))

Peer review:

Bug tracker:https://github.com/eguidotti/bidask/issues

On CRAN:

finance

6.37 score 94 stars 4 scripts 428 downloads 3 exports 3 dependencies

Last updated 3 months agofrom:3a9b58da97. Checks:OK: 7. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 17 2024
R-4.5-winOKOct 17 2024
R-4.5-linuxOKOct 17 2024
R-4.4-winOKOct 17 2024
R-4.4-macOKOct 17 2024
R-4.3-winOKOct 17 2024
R-4.3-macOKOct 17 2024

Exports:edgesimspread

Dependencies:latticextszoo

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

Rendered frombidask.Rmdusingknitr::rmarkdownon Oct 17 2024.

Last update: 2024-08-14
Started: 2023-09-06