Problem

1. Apply the Corwin-Schultz estimator to a daily series of E-mini S&P 500 futures.

(a) What is the expected bid-ask spread?

(b) What is the implied volatility?

(c) Are these estimates consistent with the earlier results, from exercises 2 and 3?

2. Compute Kyle's lambda from:

(a) tick data.

(b) a time series of dollar bars on E-mini S&P 500 futures, where

(i) bt is the volume-weighted average of the trade signs.

(ii) Vt is the sum of the volumes in that bar.

(iii) Δpt is the change in price between two consecutive bars.