Paper Title
The Estimation Efficiency of Bid-Ask Spread Estimators

Abstract
By dividing a trading day into several intraday periods, a greater number of samples of high-low ratio are collected to compute a fractional high-low spread estimator. With a dataset of the length of intraday period longer than 30 minutes, the high-low spread estimators surpass Roll spread estimators. Specifically, to minimize percentage error of the high-low spread estimator, the optimal length of intraday period should be chosen between 50 to 75 minutes. In contrast, with a dataset of the length of intraday period shorter than 20 minutes, Roll estimators outperform high-low spread estimators in a lower percentage error. Keywords - Bid-Ask Spread; Estimator.