New bid-ask spread estimators from daily high and low prices

New bid-ask spread estimators from daily high and low prices

Estimating trading costs in the absence of recorded data is a problem that continues to puzzle financial market researchers. We address this challenge by introducing two low frequency bid-ask spread estimators using daily high and low transaction prices. The range of mid-prices is an increasing f...

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Bibliographic Details
Main Authors: Li, Zhiyong, Lambe, Brendan, Adegbite, Emmanuel
Format: Article
Language:English
Published: Elsevier 2018
Online Access:https://eprints.nottingham.ac.uk/55097/

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