A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

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A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

diego peroni-2
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

braverock
On Tue, 2020-07-28 at 19:40 +0200, diego peroni wrote:
> I’m looking for a function in R to estimate Bid/Ask Spreads of stocks using Daily candlesticks.
>
> Can anyone suggest some implemetations?


Diego,

I would like to help you, but what you are asking for is simply impossible.

Daily Range, Volume, and Volatility tells you nothing about the intraday numbers except their upper/lower bounds.

It certainly doesn't tell you anything about intraday spreads.

You can certainly *guess* that less liquid instruments have larger effective spreads, since this is usually the case, but you can't know *what* the spread is from daily data.

Brian


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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Henrique Ramos
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Adam Ginensky
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Ajay Shah
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

braverock
Ajay,
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.
Brian
On Tue, 2020-07-28 at 23:50 +0530, Ajay Shah wrote:

> perhaps something like:
> https://onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1984.tb03897.x
>
> ?
> is easy to write.
>
> On Tue, 28 Jul 2020 at 23:10, diego peroni <[hidden email]
> >wrote:
> > Hi All,
> > I’m looking for a function in R to estimate Bid/Ask Spreads of
> > stocksusing Daily candlesticks.
> > Can anyone suggest some implemetations?
> > ThanksDiego_______________________________________________R-SIG-
> > [hidden email] mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> > -- Subscriber-posting only. If you want to post, subscribe first.--
> > Also note that this is not the r-help list where general R
> > questionsshould go.

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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Jasen Mackie
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Alec Schmidt-2
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

diego peroni-2
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Ajay Shah
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