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eguidotti / 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

Open waynelapierre opened 2 months ago

waynelapierre commented 2 months ago

Must the open, high, low, and close prices be daily?

eguidotti commented 2 months ago

The estimator works also with intraday data. Please refer to the paper https://doi.org/10.1016/j.jfineco.2024.103916

waynelapierre commented 3 weeks ago

I am working with one-minute OHLC data. For each day, I divide the observations into two groups, positive returns vs. negative returns. Does it make sense to use your package to calculate two bid-ask spreads for the day, one for the positive returns and the other for the negative returns? I know the Amihud illiquidity measure can be used this way, but not sure about your measure. Thanks.

eguidotti commented 3 weeks ago

Thanks for reaching out. No, that doesn't make sense because the OHLC prices must be subsequent so it is not possible to split the sample based on positive and negative returns. Hope this helps!

waynelapierre commented 3 weeks ago

thanks!