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eguidotti
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bidask
Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
https://doi.org/10.1016/j.jfineco.2024.103916
GNU General Public License v3.0
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Does edge work with intraday data?
#11
waynelapierre
opened
2 months ago
4
port C++ version of edge to R
#10
waynelapierre
opened
2 months ago
1
vectorized version
#9
igaloly
closed
3 months ago
3
Changed edge.py to calculate rolling spread on pandas objects
#8
jerseyjosh
closed
3 months ago
2
Better estimate
#7
graizada
closed
11 months ago
2
Python bidask==0.1.1 doesn't support "sign"
#6
impredicative
closed
11 months ago
2
From spread + observed price to estimated bid and ask prices
#5
tommedema
closed
2 years ago
5
RuntimeWarning: invalid value encountered in double_scalars
#4
tommedema
closed
2 years ago
1
Bidask is often estimated at zero?
#3
tommedema
closed
2 years ago
5
How much historical data to use?
#2
tommedema
closed
3 months ago
12
Add Julia support
#1
tylerjthomas9
closed
2 years ago
5