OHLC

Showing 1-2 of 2 results

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

Creators: David Ardia, Emanuele Guidotti, and Tim A. Kroencke
Publication Date: 2024
Creators: David Ardia, Emanuele Guidotti, and Tim A. Kroencke

This dataset, hosted on Harvard Dataverse, contains the replication data for the study “Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices” (Ardia, Guidotti & Kroencke, 2024, Journal of Financial Economics). It includes OHLC (open, high, low, close) price data and estimated bid-ask spreads used to validate a new efficient estimator of bid-ask spreads that can be applied to daily price data without requiring intraday transaction data.

bidask – R and Python Package for Bid-Ask Spread Estimation

Creators: Emanuele Guidotti
Publication Date: 2025
Creators: Emanuele Guidotti

The bidask package, hosted on GitHub, provides R and Python implementations of the efficient bid-ask spread estimator developed in Ardia, Guidotti & Kroencke (2024, Journal of Financial Economics). It enables researchers and practitioners to estimate bid-ask spreads from daily OHLC price data without requiring tick-level transaction data, making liquidity estimation accessible for a wide range of financial datasets.

Sign In

Register

Reset Password

Please enter your username or email address, you will receive a link to create a new password via email.