https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665228#M31702 <P>Hi there,</P><P>I am stuck at producing the codes for&nbsp;estimating the adverse selection component of the bid-ask spread following Huang and Stoll (1997) model. The estimation is for my researching thesis. Could you please advise me the codes? I appreciate your help. Thank you very much. Best. Phuong Nguyen</P> Fri, 26 Jun 2020 03:37:59 GMT PhuongNguyen 2020-06-26T03:37:59Z https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665228#M31702 <P>Hi there,</P><P>I am stuck at producing the codes for&nbsp;estimating the adverse selection component of the bid-ask spread following Huang and Stoll (1997) model. The estimation is for my researching thesis. Could you please advise me the codes? I appreciate your help. Thank you very much. Best. Phuong Nguyen</P> Fri, 26 Jun 2020 03:37:59 GMT https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665228#M31702 PhuongNguyen 2020-06-26T03:37:59Z https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665244#M31703 <P>What is the formula (or more likely what is the mathematical procedure) for the adverse selection component.&nbsp; I.e. starting with a series of bid-ask spreads, how would you calculate the component?</P> Fri, 26 Jun 2020 05:19:00 GMT https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665244#M31703 mkeintz 2020-06-26T05:19:00Z https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665254#M31704 <P>Hi&nbsp;&nbsp;<SPAN>&nbsp;<a href="https://communities.sas.com/t5/user/viewprofilepage/user-id/31461">@mkeintz</a></SPAN>,</P><P>Thank you for your asking. I do not know another best way to explain the model except uploading here the original model from Huang and Stoll (1997). Please have a read and help. Thank you.</P> Fri, 26 Jun 2020 06:58:55 GMT https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665254#M31704 PhuongNguyen 2020-06-26T06:58:55Z https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665267#M31705 I guess we have ask quote, bid quote, and trading prices as the input. Fri, 26 Jun 2020 08:00:24 GMT https://communities.sas.com/t5/Statistical-Procedures/Codes-for-estimating-the-adverse-selection-component-of-the-bid/m-p/665267#M31705 PhuongNguyen 2020-06-26T08:00:24Z