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

Creators:
Emanuele Guidotti
Publication Date:
2025
Data Category:
Dataset Description:
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.
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