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

Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices described in Ardia, Guidotti, & Kroencke (JFE, 2024) <doi:10.1016/j.jfineco.2024.103916>. It also provides an implementation of the estimators described in Roll (JF, 1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, Corwin & Schultz (JF, 2012) <doi:10.1111/j.1540-6261.2012.01729.x>, and Abdi & Ranaldo (RFS, 2017) <doi:10.1093/rfs/hhx084>.

Version: 2.1.4
Imports: data.table
Suggests: xts, zoo, dplyr, crypto2, quantmod, ggplot2, knitr, rmarkdown, testthat (≥ 3.0.0)
Published: 2025-02-26
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 usi.ch>
BugReports: https://github.com/eguidotti/bidask/issues
License: MIT + file LICENSE
URL: https://github.com/eguidotti/bidask
NeedsCompilation: no
Citation: bidask citation info
Materials: README
In views: Finance
CRAN checks: bidask results [issues need fixing before 2025-10-26]

Documentation:

Reference manual: bidask.html , bidask.pdf
Vignettes: bidask (source, R code)

Downloads:

Package source: bidask_2.1.4.tar.gz
Windows binaries: r-devel: bidask_2.1.4.zip, r-release: bidask_2.1.4.zip, r-oldrel: bidask_2.1.4.zip
macOS binaries: r-release (arm64): bidask_2.1.4.tgz, r-oldrel (arm64): bidask_2.1.4.tgz, r-release (x86_64): bidask_2.1.4.tgz, r-oldrel (x86_64): bidask_2.1.4.tgz
Old sources: bidask archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=bidask to link to this page.