Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

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.

Contribute

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.

Open data

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

Replication code

All code to replicate the paper is available here. The code meets the requirements of the cascad reproducibility policy for a rating of RRR.

Related works

You can browse publications related to the paper here.

Terms of use

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.

Cite as

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},
}