{"repo":"eguidotti/bidask","free":true,"listed":false,"github":"https://github.com/eguidotti/bidask","clone":"git clone https://github.com/eguidotti/bidask.git","description":"Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices","language":"R","stars":136,"topics":["finance"],"license":"MIT","category":"trading","readme_excerpt":"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. If you implement the estimator in a new programming language and want your implementation included in the 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 FAQ Each transaction price may generally include a different bid-ask spread, but the estimator only returns a single estimate given a sample of open, high, low, and close prices. What is the estimator computin","default_branch":null,"files":null,"tree":[],"storefront":"/r/eguidotti","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/eguidotti/bidask/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}