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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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Better estimate #7

Closed graizada closed 11 months ago

graizada commented 1 year ago

I have been going through your article in detail. I would like to know if you had a VWAP and Volume for the period - then would not that help you get a far better estimate that just pure OHLC

eguidotti commented 1 year ago

Thank you for your feedback! No, we don't use volume figures in the estimator. Adding volume to the information set may indeed improve the estimate, but this would probably lead to a very different estimator and require a different theoretical framework. As we conclude in the new version of the paper (coming soon on SSRN):

To design more efficient estimators, future work could either consider approaches that are not based on the serial covariance of returns or exploit information other than prices, such as, for instance, the trading volume.

eguidotti commented 11 months ago

New preprint now available at SSRN