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

Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices as described in Ardia, Guidotti, & Kroencke (2021) <>. It also provides an implementation of the estimators described in Roll (1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (2017) <doi:10.1093/rfs/hhx084>.

Version: 2.0.4
Imports: xts, zoo
Suggests: dplyr, crypto2, quantmod, testthat (≥ 3.0.0)
Published: 2024-06-15
DOI: 10.32614/CRAN.package.bidask
Author: Emanuele Guidotti ORCID iD [aut, cre], David Ardia ORCID iD [ctb], Tim Kroencke ORCID iD [ctb]
Maintainer: Emanuele Guidotti <emanuele.guidotti at>
License: GPL-3
NeedsCompilation: no
Citation: bidask citation info
Materials: README
In views: Finance
CRAN checks: bidask results


Reference manual: bidask.pdf


Package source: bidask_2.0.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): bidask_2.0.4.tgz, r-oldrel (arm64): bidask_2.0.4.tgz, r-release (x86_64): bidask_2.0.4.tgz, r-oldrel (x86_64): bidask_2.0.4.tgz
Old sources: bidask archive


Please use the canonical form to link to this page.