This repository implements an efficient estimator of the effective bid-ask spread from open, high, low, and close prices as 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 GPL-3.0 license. All data are released under the CC BY 4.0 license. When using any data or code from this repository, you agree to:
- cite Ardia, Guidotti, & Kroencke (2024) as indicated below
- place the link https://github.com/eguidotti/bidask in a footnote to help others find this repository
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},
}