Update citation

README.md

@@ -1,31 +1,57 @@
 # Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
-This repository implements an efficient estimator of bid-ask spreads from open, high, low, and close 
-prices as described in [Ardia, Guidotti, & Kroencke (2021)](https://www.ssrn.com/abstract=3892335). 
+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:
 
-Available 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)
 
-- [C++](https://github.com/eguidotti/bidask/tree/main/c++)
-- [Julia](https://github.com/eguidotti/bidask/tree/main/julia)
-- [MATLAB](https://github.com/eguidotti/bidask/tree/main/matlab)
-- [Python](https://github.com/eguidotti/bidask/tree/main/python)
-- [R](https://github.com/eguidotti/bidask/tree/main/r)
-- [SAS](https://github.com/eguidotti/bidask/tree/main/sas)
+The estimator is available in:
 
-You can also check the [pseudocode](https://github.com/eguidotti/bidask/tree/main/pseudocode) to implement the estimator in any programming language.
+[C++](https://github.com/eguidotti/bidask/tree/main/c++) | [Julia](https://github.com/eguidotti/bidask/tree/main/julia) | [MATLAB](https://github.com/eguidotti/bidask/tree/main/matlab) | [Python](https://github.com/eguidotti/bidask/tree/main/python) | [R](https://github.com/eguidotti/bidask/tree/main/r) | [SAS](https://github.com/eguidotti/bidask/tree/main/sas)
+
+You can also check the [pseudocode](https://github.com/eguidotti/bidask/tree/main/pseudocode) to implement the estimator in any programming language. 
+
+## Contribute
+
+If you implement the estimator in a new programming language and want your implementation to be included in this repository, please open a [pull request](https://github.com/eguidotti/bidask/pulls).
+
+## Open data
+
+The following datasets are available to download:
+
+| Download                                       | Dataset                                              | Description                                                  |
+| ---------------------------------------------- | ---------------------------------------------------- | ------------------------------------------------------------ |
+| [download](https://doi.org/10.7910/DVN/YAY4H6) | Bid-Ask Spread Estimates for U.S. Stocks in CRSP     | Contains monthly estimates of the effective bid-ask spread for each stock in the CRSP U.S. Stock database |
+| [download](https://doi.org/10.7910/DVN/9AVA2B) | Bid-Ask Spread Estimates for Crypto Pairs in Binance | Contains monthly estimates of the effective bid-ask spread for crypto pairs listed in Binance |
+
+## Replication code
+
+All code to replicate the paper is available [here](https://doi.org/10.7910/DVN/G8DPBM). The code meets the requirements of the [cascad](https://www.cascad.tech/certification/145-efficient-estimation-of-bid-ask-spreads-from-open-high-low-and-close-prices/) reproducibility policy for a rating of RRR.
+
+## Related works
+
+You can browse publications related to the paper [here](https://scholar.google.com/scholar?cites=2115798896240699437).
+
+## 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. Please:
+
+- cite the [paper](https://doi.org/10.1016/j.jfineco.2024.103916) when using any data or code from this repository
+- place the URL https://github.com/eguidotti/bidask in a footnote to help others find this repository
 
 ## Cite as
 
-*Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices". Available at SSRN: https://ssrn.com/abstract=3892335*
+> 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)
 
 A BibTex  entry for LaTeX users is:
 
 ```bibtex
-@unpublished{edge2021,
-    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
-    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-    year   = {2021},
-    note   = {Available at SSRN}
-    url    = {https://ssrn.com/abstract=3892335}
+@article{edge,
+  title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
+  journal = {Journal of Financial Economics},
+  volume = {161},
+  pages = {103916},
+  year = {2024},
+  doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
+  author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
 }
 ```

c++/README.md

@@ -1,7 +1,6 @@
 # Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
-Implements an efficient estimator of bid-ask spreads from open, high, low, and close 
-prices as described in [Ardia, Guidotti, & Kroencke (2021)](https://www.ssrn.com/abstract=3892335).
+Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices.
 
 ## Installation
 
@@ -29,16 +28,19 @@ The output value is the spread estimate. A value of 0.01 corresponds to a spread
 
 ## Cite as
 
-*Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices". Available at SSRN: https://ssrn.com/abstract=3892335*
+> 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)
 
 A BibTex  entry for LaTeX users is:
 
 ```bibtex
-@unpublished{edge2021,
-    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
-    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-    year   = {2021},
-    note   = {Available at SSRN}
-    url    = {https://ssrn.com/abstract=3892335}
+@article{edge,
+  title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
+  journal = {Journal of Financial Economics},
+  volume = {161},
+  pages = {103916},
+  year = {2024},
+  doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
+  author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
 }
 ```
+

c++/edge.cpp

@@ -14,7 +14,7 @@ double mean(const std::vector<T> &x){
 Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
 Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices 
-as described in Ardia, Guidotti, & Kroencke (2021) -> https://www.ssrn.com/abstract=3892335
+as described in Ardia, Guidotti, & Kroencke (2024) -> https://doi.org/10.1016/j.jfineco.2024.103916
 
 Prices must be sorted in ascending order of the timestamp.
 

julia/README.md

@@ -1,7 +1,6 @@
 # Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
-Implements an efficient estimator of bid-ask spreads from open, high, low, and close 
-prices as described in [Ardia, Guidotti, & Kroencke (2021)](https://www.ssrn.com/abstract=3892335).
+Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices.
 
 ## Installation
 
@@ -50,16 +49,19 @@ edge(df.:Open, df.:High, df.:Low, df.:Close)
 
 ## Cite as
 
-*Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices". Available at SSRN: https://ssrn.com/abstract=3892335*
+> 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)
 
 A BibTex  entry for LaTeX users is:
 
 ```bibtex
-@unpublished{edge2021,
-    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
-    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-    year   = {2021},
-    note   = {Available at SSRN}
-    url    = {https://ssrn.com/abstract=3892335}
+@article{edge,
+  title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
+  journal = {Journal of Financial Economics},
+  volume = {161},
+  pages = {103916},
+  year = {2024},
+  doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
+  author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
 }
 ```
+

julia/src/BidAsk.jl

@@ -6,7 +6,7 @@ using Statistics
 Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
 Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices 
-as described in Ardia, Guidotti, & Kroencke (2021) -> https://www.ssrn.com/abstract=3892335
+as described in Ardia, Guidotti, & Kroencke (2024) -> https://doi.org/10.1016/j.jfineco.2024.103916
 
 Prices must be sorted in ascending order of the timestamp.
 

matlab/README.md

@@ -1,7 +1,6 @@
 # Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
-Implements an efficient estimator of bid-ask spreads from open, high, low, and close 
-prices as described in [Ardia, Guidotti, & Kroencke (2021)](https://www.ssrn.com/abstract=3892335).
+Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices.
 
 ## Installation
 
@@ -44,16 +43,19 @@ edge(df(:,1), df(:,2), df(:,3), df(:,4))
 
 ## Cite as
 
-*Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices". Available at SSRN: https://ssrn.com/abstract=3892335*
+> 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)
 
 A BibTex  entry for LaTeX users is:
 
 ```bibtex
-@unpublished{edge2021,
-    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
-    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-    year   = {2021},
-    note   = {Available at SSRN}
-    url    = {https://ssrn.com/abstract=3892335}
+@article{edge,
+  title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
+  journal = {Journal of Financial Economics},
+  volume = {161},
+  pages = {103916},
+  year = {2024},
+  doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
+  author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
 }
 ```
+

matlab/edge.m

@@ -2,7 +2,7 @@
     % Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
     %
     % Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices 
-    % as described in Ardia, Guidotti, & Kroencke (2021) -> https://www.ssrn.com/abstract=3892335
+    % as described in Ardia, Guidotti, & Kroencke (2024) -> https://doi.org/10.1016/j.jfineco.2024.103916
     %
     % Prices must be sorted in ascending order of the timestamp.
     %

pseudocode/README.md

@@ -1,6 +1,6 @@
 # Pseudocode
 
-This file provides the pseudocode to simplify implementations of [EDGE](https://www.ssrn.com/abstract=3892335) in any programming language. 
+This file provides the pseudocode to simplify implementations of the estimator in any programming language. 
 
 ### Input
 
@@ -76,7 +76,7 @@ return s
 
 ### Testing
 
-To test your implementation, import the data available [here](https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv). The file contains sample OHLC simulated price data to simplify testing. The data have been generated by simulating a price process as described in Ardia, Guidotti, & Kroencke (2021) with 390 trades per day and a 1% probability to observe a trade. The simulation uses a constant spread of 1%. By running the estimation, you should obtain a spread estimate of **0.0101849034905478**. If you obtain a different results, you may use the following table to check and debug the intermediate steps.
+To test your implementation, import the data available [here](https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv). The file contains sample OHLC simulated price data to simplify testing. The data have been generated by simulating a price process as described in [Ardia, Guidotti, & Kroencke (2024)](https://doi.org/10.1016/j.jfineco.2024.103916) with 390 trades per day and a 1% probability to observe a trade. The simulation uses a constant spread of 1%. By running the estimation, you should obtain a spread estimate of **0.0101849034905478**. If you obtain a different results, you may use the following table to check and debug the intermediate steps.
 
 | variable | value        |
 | -------- | ------------ |
@@ -91,4 +91,4 @@ To test your implementation, import the data available [here](https://raw.github
 
 ### Contribute
 
-Have you implemented EDGE in a new programming language? If you want your implementation to be included in this repository, please open a [pull request](https://github.com/eguidotti/bidask/pulls) 
+Have you implemented the estimator in a new programming language? If you want your implementation to be included in this repository, please open a [pull request](https://github.com/eguidotti/bidask/pulls) 

python/README.md

@@ -1,7 +1,6 @@
 # Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
-Implements an efficient estimator of bid-ask spreads from open, high, low, and close 
-prices as described in [Ardia, Guidotti, & Kroencke (2021)](https://www.ssrn.com/abstract=3892335).
+Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices.
 
 
 ## Installation
@@ -50,16 +49,19 @@ edge(df.Open, df.High, df.Low, df.Close)
 
 ## Cite as
 
-*Ardia, David and Guidotti, Emanuele and Kroencke, Tim Alexander, "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices". Available at SSRN: https://ssrn.com/abstract=3892335* 
+> 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)
 
 A BibTex  entry for LaTeX users is:
 
 ```bibtex
-@unpublished{edge2021,
-    author = {Ardia, David and Guidotti, Emanuele and Kroencke, Tim},
-    title  = {Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-    year   = {2021},
-    note   = {Available at SSRN}
-    url    = {https://ssrn.com/abstract=3892335}
+@article{edge,
+  title = {Efficient estimation of bid–ask spreads from open, high, low, and close prices},
+  journal = {Journal of Financial Economics},
+  volume = {161},
+  pages = {103916},
+  year = {2024},
+  doi = {https://doi.org/10.1016/j.jfineco.2024.103916},
+  author = {David Ardia and Emanuele Guidotti and Tim A. Kroencke},
 }
 ```
+

python/bidask/edge.py

@@ -6,7 +6,7 @@ def edge(open: np.array, high: np.array, low: np.array, close: np.array, sign: b
     Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
 
     Implements an efficient estimator of bid-ask spreads from open, high, low, and close prices 
-    as described in Ardia, Guidotti, & Kroencke (2021) -> https://www.ssrn.com/abstract=3892335
+    as described in Ardia, Guidotti, & Kroencke (2024) -> https://doi.org/10.1016/j.jfineco.2024.103916
 
     Prices must be sorted in ascending order of the timestamp.
 

python/pyproject.toml

@@ -1,12 +1,11 @@
 [tool.poetry]
 name = "bidask"
-version = "2.0.0"
+version = "2.0.1"
 license = "GPL-3.0-or-later"
 description = "Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices"
 authors = ["Emanuele Guidotti <emanuele.guidotti@usi.ch>"]
 readme = "README.md"
 repository = "https://github.com/eguidotti/bidask"
-homepage = "https://eguidotti.com/publication/efficient-estimation-of-bid-ask-spreads-from-open-high-low-and-close-prices/"
 
 [tool.poetry.dependencies]
 python = "^3.6"

r/.Rbuildignore

@@ -4,4 +4,3 @@
 ^\.Rproj\.user$
 ^doc$
 ^Meta$
-vignettes

r/DESCRIPTION

@@ -1,14 +1,14 @@
 Package: bidask
 Type: Package
 Title: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices
-Version: 2.0.4
+Version: 2.0.5
 Authors@R: c(
     person(given = "Emanuele", family = "Guidotti", email = "emanuele.guidotti@usi.ch", role = c("aut", "cre"), comment = c(ORCID = "0000-0002-8961-6623")),
     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 (2021) <https://www.ssrn.com/abstract=3892335>. 
+  as described in Ardia, Guidotti, & Kroencke (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>,
@@ -23,5 +23,8 @@ Suggests:
     dplyr,
     crypto2,
     quantmod,
+    knitr,
+    rmarkdown,
     testthat (>= 3.0.0)
 Config/testthat/edition: 3
+VignetteBuilder: knitr

r/R/edge.R

@@ -102,7 +102,7 @@ EDGE <- function(x, width = nrow(x), sign, na.rm){
 #' 
 #' Implements an efficient estimator of bid-ask spreads 
 #' from open, high, low, and close prices as described in 
-#' \href{https://www.ssrn.com/abstract=3892335}{Ardia, Guidotti, & Kroencke (2021)}.
+#' \href{https://doi.org/10.1016/j.jfineco.2024.103916}{Ardia, Guidotti, & Kroencke (2024)}.
 #' 
 #' @details
 #' Prices must be sorted in ascending order of the timestamp.
@@ -116,12 +116,12 @@ EDGE <- function(x, width = nrow(x), sign, na.rm){
 #' @return The spread estimate. A value of 0.01 corresponds to a spread of 1\%.
 #'
 #' @note 
-#' Please cite \href{https://www.ssrn.com/abstract=3892335}{Ardia, Guidotti, & Kroencke (2021)} 
+#' Please cite \href{https://doi.org/10.1016/j.jfineco.2024.103916}{Ardia, Guidotti, & Kroencke (2024)} 
 #' when using this package in publication.
 #'
 #' @references 
-#' Ardia, D., Guidotti E., & Kroencke T. A. (2021). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. 
-#' Available at SSRN: \url{https://www.ssrn.com/abstract=3892335}
+#' Ardia, D., Guidotti E., & Kroencke T. A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. 
+#' \doi{10.1016/j.jfineco.2024.103916}
 #'
 #' @examples
 #' # simulate open, high, low, and close prices with spread 1%

r/R/sim.R

@@ -22,12 +22,12 @@
 #' @return Simulated open, high, low, and close prices.
 #'
 #' @note 
-#' Please cite \href{https://www.ssrn.com/abstract=3892335}{Ardia, Guidotti, & Kroencke (2021)} 
+#' Please cite \href{https://doi.org/10.1016/j.jfineco.2024.103916}{Ardia, Guidotti, & Kroencke (2024)} 
 #' when using this package in publication.
 #'
 #' @references
-#' Ardia, D., Guidotti E., & Kroencke T. A. (2021). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. 
-#' Available at SSRN: \url{https://www.ssrn.com/abstract=3892335}
+#' Ardia, D., Guidotti E., & Kroencke T. A. (2024). Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices. 
+#' \doi{10.1016/j.jfineco.2024.103916}
 #'
 #' @export
 #'