bidask

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

v2.1.5 · Oct 13, 2025 · MIT + file LICENSE

Description

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>.

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14 OK

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r-devel-linux-x86_64-debian-clang	OK	107s
r-devel-linux-x86_64-debian-gcc	OK	69.1s
r-devel-linux-x86_64-fedora-clang	OK	162.8s
r-devel-linux-x86_64-fedora-gcc	OK	176.6s
r-devel-macos-arm64	OK	50s
r-devel-windows-x86_64	OK	145s
r-oldrel-macos-arm64	OK
r-oldrel-macos-x86_64	OK	156s
r-oldrel-windows-x86_64	OK	183s
r-patched-linux-x86_64	OK	103.5s
r-release-linux-x86_64	OK	102.7s
r-release-macos-arm64	OK
r-release-macos-x86_64	OK	177s
r-release-windows-x86_64	OK	143s

Check History

OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

Dependency Network

Version History

new 2.1.5 Mar 10, 2026

updated 2.1.5 ← 2.1.4 diff Oct 12, 2025

updated 2.1.4 ← 2.0.6 diff Feb 25, 2025

updated 2.0.6 ← 2.0.4 diff Aug 17, 2024

updated 2.0.4 ← 2.0.2 diff Jun 14, 2024

updated 2.0.2 ← 2.0.0 diff Dec 16, 2023

updated 2.0.0 ← 1.0.0 diff Dec 11, 2023

updated 1.0.0 ← 0.1.1 diff May 10, 2022

updated 0.1.1 ← 0.1.0 diff Jan 31, 2022

new 0.1.0 Jul 25, 2021