D11-F02-A04 · GUIDED PLAYGROUND

Roll Spread Estimator

Can bid–ask bounce reveal an implicit spread when quote data are unavailable? Choose a scenario, step through 61 deterministic calculations, and audit why the state changes.

◆ Synthetic teaching data · not a live market measurement
Roll Spread Estimator scenario curveSixty-one deterministic calculations with the selected point marked.

Horizontal: controlled step. Vertical: Roll spread (bps).

Liquidity and Spreads · measurement context

Does negative lag-one price-change covariance identify bid–ask bounce?

Nearest comparison

Effective Spread uses matched trades and quotes; Corwin–Schultz uses daily high–low ranges.

Do not substitute

A null estimate is not a zero spread, and an estimate is not a direct observed quote.