Calculate bid-ask spread based on Farshid Abdi, Angelo Ranaldo 2017 #22
Description
Why?
- Because trading costs have an impact of the return of any strategy.
- An important trading cost is the bid-ask spread.
- The bid-ask spread is not generally available from quote providers.
- Therefore they need to be estimated.
Condition of satisfaction
- quote services are able to include an estimation of the bid-ask spread while loading the data.
- Big-ask spread is used in all order simulations.
- Use the Farshid Abdi, Angelo Ranaldo 2017 paper:
- A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
- https://academic.oup.com/rfs/article/30/12/4437/4047344