{"id":{"repo_id":"uiuc","oai_identifier":"oai:www.ideals.illinois.edu:2142/99420"},"canonical_url":"https://search.dev.ndltd.org/etd/uiuc/oai:www.ideals.illinois.edu:2142/99420","repository":{"repo_id":"uiuc","name":"University of Illinois - Urbana-Champaign","base_url":"https://www.ideals.illinois.edu/oai-pmh"},"display":{"title":"The high–low spread estimator is not well–behaved in commodity markets","abstract":"In spite of the increasing availability of high-quality data and the possibility of obtaining direct commodity trading costs in recent periods, historical series of transaction costs still require bid-ask spread estimation. In this work, we verify whether the popular high-low spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from measurement error increasing in the volatility-to-spread ratio and consistently positive error in a variety of empirical and experimental settings. As the measurement error in the high-low estimator depends on ex-ante knowledge about the usually unobserved true spread level, we conclude that the spread measure is not well-behaved and should be avoided in commodity markets.","abstract_html":"In spite of the increasing availability of high-quality data and the possibility of obtaining direct commodity trading costs in recent periods, historical series of transaction costs still require bid-ask spread estimation. In this work, we verify whether the popular high-low spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from measurement error increasing in the volatility-to-spread ratio and consistently positive error in a variety of empirical and experimental settings. As the measurement error in the high-low estimator depends on ex-ante knowledge about the usually unobserved true spread level, we conclude that the spread measure is not well-behaved and should be avoided in commodity markets.","abstract_has_math":false,"creators":["Tremacoldi Rossi, Pedro"],"institution":"University of Illinois at Urbana-Champaign","degree_name":"M.S.","degree_level":"Thesis","degree_discipline":"Agricultural & Applied Econ","degree_department":null,"school":null,"contributors":["Irwin, Scott H.","Garcia, Philip","Robe, Michel A","Serra Devesa, Maria Teresa"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2018,"date_issued":"2018-03-13T15:49:14Z","date_published":"2018-03-13T15:49:14Z","updated_at":"2026-07-22T22:24:37Z","subjects":["Commodity futures","Bid-ask spreads","Transaction costs"],"languages":["eng"],"rights":["Copyright 2017 Pedro Tremacoldi Rossi"],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/2142/99420","outbound_label":"Handle","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Irwin, Scott H.","Garcia, Philip","Robe, Michel A","Serra Devesa, Maria Teresa"]},{"key":"dc:creator","label":"Author","values":["Tremacoldi Rossi, Pedro"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date","label":"Dc Date","values":["2018-03-13T15:49:14Z","2017-12-12","2017-12"]},{"key":"dc:type","label":"Dc Type","values":["text"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Agricultural & Applied Econ"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis"]},{"key":"thesis:degree_name","label":"Degree Name","values":["M.S."]},{"key":"thesis:institution_name","label":"Thesis Institution Name","values":["University of Illinois at Urbana-Champaign"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Commodity futures","Bid-ask spreads","Transaction costs"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["eng"]},{"key":"dc:rights","label":"Dc Rights","values":["Copyright 2017 Pedro Tremacoldi Rossi"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["http://hdl.handle.net/2142/99420"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["In spite of the increasing availability of high-quality data and the possibility of obtaining direct commodity trading costs in recent periods, historical series of transaction costs still require bid-ask spread estimation. In this work, we verify whether the popular high-low spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from measurement error increasing in the volatility-to-spread ratio and consistently positive error in a variety of empirical and experimental settings. As the measurement error in the high-low estimator depends on ex-ante knowledge about the usually unobserved true spread level, we conclude that the spread measure is not well-behaved and should be avoided in commodity markets.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2018-03-13 without embargo terms","The student, Pedro Tremacoldi Rossi, accepted the attached license on 2017-12-11 at 19:08.","The student, Pedro Tremacoldi Rossi, submitted this Thesis for approval on 2017-12-11 at 19:17.","This Thesis was approved for publication on 2017-12-12 at 16:27.","DSpace SAF Submission Ingestion Package generated from Vireo submission #11948 on 2018-03-13 at 10:12:17","Made available in DSpace on 2018-03-13T15:49:14Z (GMT). No. of bitstreams: 2 TREMACOLDIROSSI-THESIS-2017.pdf: 1197113 bytes, checksum: 7df60181440d2b9c2dd61c6961dfacfc (MD5) LICENSE.txt: 4219 bytes, checksum: 15ca52f9cfd985918092b94cb7631a24 (MD5) Previous issue date: 2017-12-12"]},{"key":"dc:format","label":"Dc Format","values":["application/pdf"]},{"key":"dc:title","label":"Title","values":["The high–low spread estimator is not well–behaved in commodity markets"]}]}],"canonical_facts":{"dc:contributor":["Irwin, Scott H.","Garcia, Philip","Robe, Michel A","Serra Devesa, Maria Teresa"],"dc:creator":["Tremacoldi Rossi, Pedro"],"dc:date":["2018-03-13T15:49:14Z","2017-12-12","2017-12"],"dc:description":["In spite of the increasing availability of high-quality data and the possibility of obtaining direct commodity trading costs in recent periods, historical series of transaction costs still require bid-ask spread estimation. In this work, we verify whether the popular high-low spread estimator performs well in commodity markets so that it can be used to construct long-term cost estimates. We find that the estimator suffers both from measurement error increasing in the volatility-to-spread ratio and consistently positive error in a variety of empirical and experimental settings. As the measurement error in the high-low estimator depends on ex-ante knowledge about the usually unobserved true spread level, we conclude that the spread measure is not well-behaved and should be avoided in commodity markets.","Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2018-03-13 without embargo terms","The student, Pedro Tremacoldi Rossi, accepted the attached license on 2017-12-11 at 19:08.","The student, Pedro Tremacoldi Rossi, submitted this Thesis for approval on 2017-12-11 at 19:17.","This Thesis was approved for publication on 2017-12-12 at 16:27.","DSpace SAF Submission Ingestion Package generated from Vireo submission #11948 on 2018-03-13 at 10:12:17","Made available in DSpace on 2018-03-13T15:49:14Z (GMT). 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