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Medium · data_manipulation · Quant Researcher interview question · corwin_schultz, bid_ask_spread, high_low_estimator, liquidity, microstructure, data_manipulation
Bid-ask spreads are a primary measure of trading costs and liquidity, but direct spread data is often unavailable for historical analysis. The Corwin-Schultz (2012) estimator provides a method to calculate the spread using only daily high and low prices. It isolates the spread component by observing that single-day and two-day price ranges scale differently with volatility. Task Implement the function corwin_schultz_spread(high_prices: list, low_prices: list) -> float to estimate the bid-ask sp