This repository implements the efficient estimator of the effective bid-ask spread from open, high, low, and close prices described in:
Ardia, D., Guidotti, E., Kroencke, T.A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. Journal of Financial Economics, 161, 103916. doi: 10.1016/j.jfineco.2024.103916
The estimator is available in:
C++ | Julia | MATLAB | Python | R | SAS
You can also check the pseudocode to implement the estimator in any programming language.
If you implement the estimator in a new programming language and want your implementation to be included in this repository, please open a pull request.
The following datasets are available to download:
| Download | Dataset | Description |
|---|---|---|
| download | Bid-Ask Spread Estimates for U.S. Stocks in CRSP | Contains monthly estimates of the effective bid-ask spread for each stock in the CRSP U.S. Stock database |
| download | Bid-Ask Spread Estimates for Crypto Pairs in Binance | Contains monthly estimates of the effective bid-ask spread for crypto pairs listed in Binance |
All code to replicate the paper is available here. The code meets the requirements of the cascad reproducibility policy for a rating of RRR.
You can browse publications related to the paper here.
All code is released under the MIT license. All data are released under the CC BY 4.0 license. When using any data or code from this repository, please cite the reference indicated below.
Ardia, D., Guidotti, E., Kroencke, T.A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. Journal of Financial Economics, 161, 103916. doi: 10.1016/j.jfineco.2024.103916
A BibTex entry for LaTeX users is:
@article{edge,
title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
journal = {Journal of Financial Economics},
volume = {161},
pages = {103916},
year = {2024},
doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
}