D11-F02-A06 · GUIDED PLAYGROUND

Corwin-Schultz Spread Estimator

Can two consecutive daily high–low ranges separate spread from fundamental volatility? Choose a scenario, step through 61 deterministic calculations, and audit why the state changes.

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

Horizontal: controlled step. Vertical: High–low spread (bps).

Liquidity and Spreads · measurement context

Can adjacent one-day and two-day high–low ranges separate spread from volatility?

Nearest comparison

Roll uses serial covariance; direct spreads require intraday quotes or quote-matched trades.

Do not substitute

It is a model-based proxy and is sensitive to overnight moves and sparse price observation.