Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
The method you are proposing is easy to write, the authors flat out say
that they didn't really bother to check how accurate their measure is,
but what little checking they do gives highly *implausible* results.
They also say that it only makes sense for liquid instruments (for
which intraday data is readily available anyway). So I'm not sure this
makes the impossible any more possible.
On Tue, 2020-07-28 at 23:50 +0530, Ajay Shah wrote: