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bidask  

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
View on CRAN: Click here


Download and install bidask package within the R console
Install from CRAN:
install.packages("bidask")

Install from Github:
library("remotes")
install_github("cran/bidask")

Install by package version:
library("remotes")
install_version("bidask", "2.1.5")



Attach the package and use:
library("bidask")
Maintained by
Emanuele Guidotti
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2021-07-26
Latest Update: 2025-02-26
Description:
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) , Corwin & Schultz (2012) , and Abdi & Ranaldo (2017) .
How to cite:
Emanuele Guidotti (2021). bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. R package version 2.1.5, https://cran.r-project.org/web/packages/bidask. Accessed 06 Mar. 2026.
Previous versions and publish date:
0.1.0 (2021-07-26 09:00), 0.1.1 (2022-02-01 20:00), 1.0.0 (2022-05-11 00:10), 2.0.0 (2023-12-12 16:50), 2.0.2 (2023-12-17 08:30), 2.0.4 (2024-06-15 02:30), 2.0.6 (2024-08-18 21:10), 2.1.4 (2025-02-26 13:40)
Other packages that cited bidask R package
View bidask citation profile
Other R packages that bidask depends, imports, suggests or enhances
Complete documentation for bidask
Functions, R codes and Examples using the bidask R package
Some associated functions: AR . CS . EDGE . GMM . OHLC . ROLL . bidask-package . rapply . rmean . rsum . sim . spread . 
Some associated R codes: ar.R . cs.R . edge.R . gmm.R . ohlc.R . roll.R . sim.R . spread.R . utils.R .  Full bidask package functions and examples
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