Fix #15

README.md

@@ -1,6 +1,6 @@
 # Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
-This [repository](https://github.com/eguidotti/bidask/) implements an efficient estimator of the effective bid-ask spread from open, high, low, and close prices as described in:
+This [repository](https://github.com/eguidotti/bidask/) implements the efficient estimator of the effective bid-ask spread from open, high, low, and close prices described in:
 
 > Ardia, D., Guidotti, E., Kroencke, T.A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. *Journal of Financial Economics*, 161, 103916. [doi: 10.1016/j.jfineco.2024.103916](https://doi.org/10.1016/j.jfineco.2024.103916)
 
@@ -33,10 +33,7 @@ You can browse publications related to the paper [here](https://scholar.google.c
 
 ## Terms of use
 
-All code is released under the [GPL-3.0](https://github.com/eguidotti/bidask/?tab=GPL-3.0-1-ov-file#GPL-3.0-1-ov-file) license. All data are released under the [CC BY 4.0](http://creativecommons.org/licenses/by/4.0) license. When using any data or code from this repository, you agree to:
-
-- cite [Ardia, Guidotti, & Kroencke (2024)](https://doi.org/10.1016/j.jfineco.2024.103916) as indicated below
-- place the link [https://github.com/eguidotti/bidask](https://github.com/eguidotti/bidask) in a footnote to help others find this repository
+All code is released under the [MIT](https://github.com/eguidotti/bidask?tab=MIT-1-ov-file#readme) license. All data are released under the [CC BY 4.0](http://creativecommons.org/licenses/by/4.0) license. When using any data or code from this repository, please cite the reference indicated below.
 
 ## Cite as
 

r/DESCRIPTION

@@ -7,22 +7,25 @@ Authors@R: c(
     person(given = "David", family = "Ardia", role = c("ctb"), comment = c(ORCID = "0000-0003-2823-782X")),
     person(given = "Tim", family = "Kroencke", role = c("ctb"), comment = c(ORCID = "0000-0001-8700-356X"))
   )
-Description: Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices
-  as described in Ardia, Guidotti, & Kroencke (2024) <doi:10.1016/j.jfineco.2024.103916>. 
+Description: Implements the efficient estimator of bid-ask spreads from open, high, low, and close prices
+  described in Ardia, Guidotti, & Kroencke (JFE, 2024) <doi:10.1016/j.jfineco.2024.103916>. 
   It also provides an implementation of the estimators described in 
-  Roll (1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, 
-  Corwin & Schultz (2012) <doi:10.1111/j.1540-6261.2012.01729.x>,
-  and Abdi & Ranaldo (2017) <doi:10.1093/rfs/hhx084>.
-License: GPL-3
+  Roll (JF, 1984) <doi:10.1111/j.1540-6261.1984.tb03897.x>, 
+  Corwin & Schultz (JF, 2012) <doi:10.1111/j.1540-6261.2012.01729.x>,
+  and Abdi & Ranaldo (RFS, 2017) <doi:10.1093/rfs/hhx084>.
+License: MIT + file LICENSE
 URL: https://github.com/eguidotti/bidask
 BugReports: https://github.com/eguidotti/bidask/issues
 Encoding: UTF-8
-Imports: xts, zoo
+Imports: data.table
 RoxygenNote: 7.2.3
 Suggests:
+    xts,
+    zoo,
     dplyr,
     crypto2,
     quantmod,
+    ggplot2,
     knitr,
     rmarkdown,
     testthat (>= 3.0.0)

r/LICENSE

@@ -0,0 +1,2 @@
+YEAR: 2024
+COPYRIGHT HOLDER: Emanuele Guidotti

r/NAMESPACE

@@ -1,9 +1,10 @@
 # Generated by roxygen2: do not edit by hand
 
 export(edge)
+export(edge_expanding)
+export(edge_rolling)
 export(sim)
 export(spread)
-import(xts)
-importFrom(stats,lag)
+import(data.table)
 importFrom(stats,rbinom)
 importFrom(stats,rnorm)

r/R/ar.R

@@ -2,37 +2,40 @@
 #'
 #' @keywords internal
 #'
-AR <- function(x, width = nrow(x), method, sign, na.rm){
+AR <- function(high, low, close, width, method, sign, na.rm){
 
   ok <- c("AR","AR2")
   if(length(ko <- setdiff(method, ok)))
     stop(sprintf("Method(s) '%s' not available. The available methods are '%s'.",
                  paste(ko, collapse = "', '"), paste(ok, collapse = "', '")))
 
-  x <- log(x)
+  h <- log(high)
+  l <- log(low)
+  c <- log(close)
 
-  M2 <- (x$HIGH+x$LOW)/2
-  M1 <- lag(M2, 1)[-1,]
-  C1 <- lag(x$CLOSE, 1)
+  m2 <- (h + l) / 2
+  m1 <- shift(m2, 1)
+  c1 <- shift(c, 1)
 
-  S2 <- 4*(C1-M1)*(C1-M2)
+  s2 <- 4 * (c1 - m1) * (c1 - m2)
 
+  shift <- 1
   ar <- ar2 <- NULL
 
   if("AR" %in% method) {
-    ar <- rmean(S2, width = width-1, na.rm = na.rm)
+    ar <- rmean(s2, width = width, shift = shift, na.rm = na.rm)
     ar <- sign(ar) * sqrt(abs(ar))
     if(!sign) ar <- abs(ar)
-    colnames(ar) <- "AR"
+    ar <- list("AR" = ar)
   }
 
   if("AR2" %in% method){
-    S2[S2<0] <- 0
-    S <- sqrt(S2)
-    ar2 <- rmean(S, width = width-1, na.rm = na.rm)
-    colnames(ar2) <- "AR2"
+    s2[s2 < 0] <- 0
+    s <- sqrt(s2)
+    ar2 <- rmean(s, width = width, shift = shift, na.rm = na.rm)
+    ar2 <- list("AR2" = ar2)
   }
 
-  return(cbind(ar, ar2))
+  return(c(ar, ar2))
 
 }

r/R/cs.R

@@ -2,46 +2,46 @@
 #'
 #' @keywords internal
 #'
-CS <- function(x, width = nrow(x), method, sign, na.rm){
+CS <- function(high, low, close, width, method, sign, na.rm){
 
   ok <- c("CS","CS2")
   if(length(ko <- setdiff(method, ok)))
     stop(sprintf("Method(s) '%s' not available. The available methods are '%s'.",
                  paste(ko, collapse = "', '"), paste(ok, collapse = "', '")))
 
-  x <- log(x)
+  h <- log(high)
+  l <- log(low)
+  c <- log(close)
 
-  H <- x$HIGH[-1]
-  L <- x$LOW[-1]
+  c1 <- shift(c, 1)
+  h1 <- shift(h, 1)
+  l1 <- shift(l, 1)
 
-  C1 <- lag(x$CLOSE, 1)[-1]
-  H1 <- lag(x$HIGH, 1)[-1]
-  L1 <- lag(x$LOW, 1)[-1]
-
-  GAP <- pmax(0, C1-H) + pmin(0, C1-L)
-  AH <- H + GAP
-  AL <- L + GAP
+  gap <- pmax(0, c1 - h) + pmin(0, c1 - l)
+  ah <- h + gap
+  al <- l + gap
 
-  B <- (H-L)^2 + (H1-L1)^2
-  G <- (pmax(AH, H1) - pmin(AL, L1))^2
+  b <- (h - l)^2 + (h1 - l1)^2
+  g <- (pmax(ah, h1) - pmin(al, l1))^2
 
-  A <- (sqrt(2*B)-sqrt(B))/(3-2*sqrt(2)) - sqrt(G/(3-2*sqrt(2)))
-  S <- 2*(exp(A)-1)/(1+exp(A))
+  a <- (sqrt(2*b) - sqrt(b)) / (3 - 2*sqrt(2)) - sqrt(g / (3 - 2*sqrt(2)))
+  s <- 2*(exp(a) - 1) / (1 + exp(a))
 
+  shift <- 1
   cs <- cs2 <- NULL
 
   if("CS" %in% method) {
-    cs <- rmean(S, width = width-1, na.rm = na.rm)
+    cs <- rmean(s, width = width, shift = shift, na.rm = na.rm)
     if(!sign) cs <- abs(cs)
-    colnames(cs) <- "CS"
+    cs <- list("CS" = cs)
   }
 
   if("CS2" %in% method){
-    S[S<0] <- 0
-    cs2 <- rmean(S, width = width-1, na.rm = na.rm)
-    colnames(cs2) <- "CS2"
+    s[s < 0] <- 0
+    cs2 <- rmean(s, width = width, shift = shift, na.rm = na.rm)
+    cs2 <- list("CS2" = cs2)
   }
 
-  return(cbind(cs, cs2))
+  return(c(cs, cs2))
 
 }