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πŸ’§ Effective spread & illiquidity (OHLC)

3 novel Β· 0 crypto-prior Β· 0 excluded. Each row links its FOSS implementation + license + paper. Empirical orthogonality deferred.

#CandidateFOSS implementation @ licensePaper Β· provenanceCoverage
#52 edge_spread_bps
Efficient Discrete Generalized Estimator: a single GMM-based effective-spread estimate that combines all four OHLC prices, asymptotically unbiased und
 eguidotti/bidask
MIT
 DOI:10.1016/j.jfineco.2024.103
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#53 ohlc_generalized_spread_bps
A specific generalized OHLC-combination spread estimator (e.g., OHLC.CHLO or OHL.HLC average) from the same Ardia-Guidotti-Kroencke family, distinct f
 eguidotti/bidask
MIT
 DOI:10.1016/j.jfineco.2024.103
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered
#89 holden_effective_tick_clustering
Effective-tick (Holden/Goyenko-Holden-Trzcinka) clustering measure: from how often intra-bar prices land on coarse vs fine multiples of the symbol's m
⚠ needs symbol tick size (data constant); GPL bidask ref
 eguidotti/bidask (bidask: EDGE + companion low-freq spread proxie
GPL-3.0
 DOI:10.1016/j.jfineco.2008.06.
git-anchor: absent @c803ef96e + @2d308f1c
 not-covered