A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
提出一种利用每日最高价和最低价估计买卖价差的方法，基于价差成分与方差成分在不同时间间隔下的不同性质，计算简单且优于其他低频估计器。
ABSTRACT We develop a bid‐ask spread estimator from daily high and low prices. Daily high (low) prices are almost always buy (sell) trades. Hence, the high–low ratio reflects both the stock's variance and its bid‐ask spread. Although the variance component of the high–low ratio is proportional to the return interval, the spread component is not. This allows us to derive a spread estimator as a function of high–low ratios over 1‐day and 2‐day intervals. The estimator is easy to calculate, can be applied in a variety of research areas, and generally outperforms other low‐frequency estimators.