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
Hi All,

I’m looking for a function in R to estimate Bid/Ask Spreads of stocks using Daily candlesticks.

Can anyone suggest some implemetations?

Thanks
Diego
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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
In reply to this post by diego peroni-2
Hi there,

You can calculate the Corwin-Schultz (CS) spread estimator.
https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.2012.01729.x

One of the authors provides spreadsheets with calculations in Excel. It
should not take much effort to put in R.

You should notice that low-frequency proxies are highly subject to
estimation errors.

Em ter., 28 de jul. de 2020 às 14:40, diego peroni <
[hidden email]> escreveu:

> Hi All,
>
> I’m looking for a function in R to estimate Bid/Ask Spreads of stocks
> using Daily candlesticks.
>
> Can anyone suggest some implemetations?
>
> Thanks
> Diego
> _______________________________________________
> [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 questions
> should go.
>


--
--
Henrique P. Ramos

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

Adam Ginensky
In reply to this post by braverock
To expand on what Brian said, imagine a very illiquid stock that just
trades once on the bid.  No range, but probably a very wide bid/ask spread.
On the other hand imagine a very liquid stock highly correlated to the
market on a day with a large range- still will have a small bid/ask spread.

On Tue, Jul 28, 2020 at 1:09 PM Brian G. Peterson <[hidden email]>
wrote:

> 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
>
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [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 questions
> should go.
>

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

Ajay Shah
In reply to this post by diego peroni-2
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 stocks
> using Daily candlesticks.
>
> Can anyone suggest some implemetations?
>
> Thanks
> Diego
> _______________________________________________
> [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 questions
> should go.
>


--
Ajay Shah
[hidden email]
http://www.mayin.org/ajayshah

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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
In reply to this post by Ajay Shah
I am not aware of any bid-ask spread estimators in R. I would be interested
to know the intention with estimated bid-ask spreads (and how they compare
with actual spreads) as they do sound dangerous if they were to be used in
any system/model. The quoted papers are quite old, one dating back to 1984.
The need for estimating bid-ask spreads was likely more necessary then than
it is now when you can easily extract and store this information if you
have access to the data.

On Tue, 28 Jul 2020 at 14:21, Ajay Shah <[hidden email]> 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 stocks
> > using Daily candlesticks.
> >
> > Can anyone suggest some implemetations?
> >
> > Thanks
> > Diego
> > _______________________________________________
> > [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 questions
> > should go.
> >
>
>
> --
> Ajay Shah
> [hidden email]
> http://www.mayin.org/ajayshah
>
>         [[alternative HTML version deleted]]
>
> _______________________________________________
> [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 questions
> should go.
>

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

Alec Schmidt-2
In reply to this post by braverock
Brian,
You're right, of course. But the Roll's model was an influential work in 1980s when the bid/ask prices were not easily available (if at all). But the transactional prices were available ( 'time and sales' tapes). So, this model was a nice and useful theoretical exercise. 🙂
Alec

________________________________
From: R-SIG-Finance <[hidden email]> on behalf of Brian G. Peterson <[hidden email]>
Sent: Tuesday, July 28, 2020 2:31 PM
To: Ajay Shah <[hidden email]>; diego peroni <[hidden email]>
Cc: r-sig-finance <[hidden email]>
Subject: Re: [R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

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://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2Ffull%2F10.1111%2Fj.1540-6261.1984.tb03897.x&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=JSCJrQC%2BusDDIDvf7eTfJVhSakzms4AprrQ4IqHxu2s%3D&amp;reserved=0
>
> ?
> 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://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=4u%2BnhRnGdruFMjmzD9AosEgMVwFly7tyNsaaeERLmIM%3D&amp;reserved=0
> > -- 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

diego peroni-2
Thanks Brian and others!

I’m convinced that it’s not accurate but it can give me an idea of the magnitude in particular trading many stocks (global mean).

I’ve found just this post:

https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012 <https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012>

Regards
Diego



> On 28 Jul 2020, at 21:10, Alec Schmidt <[hidden email]> wrote:
>
> Brian,
> You're right, of course. But the Roll's model was an influential work in 1980s when the bid/ask prices were not easily available (if at all). But the transactional prices were available ( 'time and sales' tapes). So, this model was a nice and useful theoretical exercise. 🙂
> Alec
>
> From: R-SIG-Finance <[hidden email] <mailto:[hidden email]>> on behalf of Brian G. Peterson <[hidden email] <mailto:[hidden email]>>
> Sent: Tuesday, July 28, 2020 2:31 PM
> To: Ajay Shah <[hidden email] <mailto:[hidden email]>>; diego peroni <[hidden email] <mailto:[hidden email]>>
> Cc: r-sig-finance <[hidden email] <mailto:[hidden email]>>
> Subject: Re: [R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
>  
> 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://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2Ffull%2F10.1111%2Fj.1540-6261.1984.tb03897.x&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=JSCJrQC%2BusDDIDvf7eTfJVhSakzms4AprrQ4IqHxu2s%3D&amp;reserved=0 <https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2Ffull%2F10.1111%2Fj.1540-6261.1984.tb03897.x&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=JSCJrQC%2BusDDIDvf7eTfJVhSakzms4AprrQ4IqHxu2s%3D&amp;reserved=0>
> >
> > ?
> > is easy to write.
> >
> > On Tue, 28 Jul 2020 at 23:10, diego peroni <[hidden email] <mailto:[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] <mailto:[hidden email]> mailing list
> > > https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=4u%2BnhRnGdruFMjmzD9AosEgMVwFly7tyNsaaeERLmIM%3D&amp;reserved=0 <https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fstat.ethz.ch%2Fmailman%2Flistinfo%2Fr-sig-finance&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=4u%2BnhRnGdruFMjmzD9AosEgMVwFly7tyNsaaeERLmIM%3D&amp;reserved=0>
> > > -- 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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>
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> -- Subscriber-posting only. If you want to post, subscribe first.
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Re: A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

Ajay Shah
These methods are also useful in studying the past, where good datasets are
unavailable. As an example, when Corwin/Schultz first came out, I had
written
https://blog.theleapjournal.org/2012/04/new-insights-into-events-on-indian.html


On Wed, 29 Jul 2020 at 13:05, diego peroni <[hidden email]>
wrote:

> Thanks Brian and others!
>
> I’m convinced that it’s not accurate but it can give me an idea of the
> magnitude in particular trading many stocks (global mean).
>
> I’ve found just this post:
>
>
> https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012
> <
> https://stackoverflow.com/questions/45916124/estimate-bid-ask-spreads-from-daily-high-and-low-prices-corwin-schultz-2012
> >
>
> Regards
> Diego
>
>
>
> > On 28 Jul 2020, at 21:10, Alec Schmidt <[hidden email]> wrote:
> >
> > Brian,
> > You're right, of course. But the Roll's model was an influential work in
> 1980s when the bid/ask prices were not easily available (if at all). But
> the transactional prices were available ( 'time and sales' tapes). So, this
> model was a nice and useful theoretical exercise. 🙂
> > Alec
> >
> > From: R-SIG-Finance <[hidden email] <mailto:
> [hidden email]>> on behalf of Brian G. Peterson <
> [hidden email] <mailto:[hidden email]>>
> > Sent: Tuesday, July 28, 2020 2:31 PM
> > To: Ajay Shah <[hidden email] <mailto:[hidden email]>>; diego
> peroni <[hidden email] <mailto:[hidden email]>>
> > Cc: r-sig-finance <[hidden email] <mailto:
> [hidden email]>>
> > Subject: Re: [R-SIG-Finance] A Simple Estimation of Bid-Ask Spreads from
> Daily Close, High, and Low Prices
> >
> > 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://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2Ffull%2F10.1111%2Fj.1540-6261.1984.tb03897.x&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=JSCJrQC%2BusDDIDvf7eTfJVhSakzms4AprrQ4IqHxu2s%3D&amp;reserved=0
> <
> https://nam02.safelinks.protection.outlook.com/?url=https%3A%2F%2Fonlinelibrary.wiley.com%2Fdoi%2Ffull%2F10.1111%2Fj.1540-6261.1984.tb03897.x&amp;data=02%7C01%7Caschmid1%40stevens.edu%7C510e7fca5b744d24f84208d833286343%7C8d1a69ec03b54345ae21dad112f5fb4f%7C0%7C0%7C637315595857504462&amp;sdata=JSCJrQC%2BusDDIDvf7eTfJVhSakzms4AprrQ4IqHxu2s%3D&amp;reserved=0
> >
> > >
> > > ?
> > > is easy to write.
> > >
> > > On Tue, 28 Jul 2020 at 23:10, diego peroni <[hidden email]
> <mailto:[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] <mailto:[hidden email]> mailing list
> > > >
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Ajay Shah
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