Suppose there are two time series of data, ask price and bid price in options. They are used to calculate bid-ask spread($\frac{P_A-P_B}{P_{Mid}}$).

I attempt to use winsorization and standardization to make the results more stable and reliable, but I'm not sure whether the standardisation should be used first.

I think I should standardise the bid-ask spread and then winsorize the spread. But I should not use them in ask and bid prices. Am I correct?

  • $\begingroup$ How are you using this data? What are you trying to do? $\endgroup$ – Matthew Gunn Sep 7 '17 at 19:49
  • $\begingroup$ I will use the spread to analyse its changes in interday and intraday, and regress the spread of individual options against the spread of the whole market. $\endgroup$ – Neal801 Sep 7 '17 at 19:56

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