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

Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2021) <https://www.ssrn.com/abstract=3892335>. It also provides an implementation of the estimators described in Roll (1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (2017) <doi:10.1093/rfs/hhx084>.

Version: 2.0.2
Imports: xts, zoo
Suggests: dplyr, crypto2, quantmod, knitr, rmarkdown, testthat (≥ 3.0.0)
Published: 2023-12-17
DOI: 10.32614/CRAN.package.bidask
Author: Emanuele Guidotti ORCID iD [aut, cre], David Ardia ORCID iD [ctb], Tim Kroencke ORCID iD [ctb]
Maintainer: Emanuele Guidotti <emanuele.guidotti at usi.ch>
BugReports: https://github.com/eguidotti/bidask/issues
License: GPL-3
URL: https://github.com/eguidotti/bidask
NeedsCompilation: no
Citation: bidask citation info
Materials: README
In views: Finance
CRAN checks: bidask results [issues need fixing before 2024-06-14]

Documentation:

Reference manual: bidask.pdf
Vignettes: bidask

Downloads:

Package source: bidask_2.0.2.tar.gz
Windows binaries: r-devel: bidask_2.0.2.zip, r-release: bidask_2.0.2.zip, r-oldrel: bidask_2.0.2.zip
macOS binaries: r-release (arm64): bidask_2.0.2.tgz, r-oldrel (arm64): bidask_2.0.2.tgz, r-release (x86_64): bidask_2.0.2.tgz, r-oldrel (x86_64): bidask_2.0.2.tgz
Old sources: bidask archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=bidask to link to this page.