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Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
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Is that possible to get a vectorized python version?
I've been using this for a while for online spread calculations from exchange data. Very useful! I've left the functionality to return a single float based on a single input...
Great library, I love the pseudocode and python implementation. I read the paper at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3892335 but cannot figure out what the recommended number of historical days to use is. Is...