I would like to examine the impact of the volatility on the transaction costs (Bid-ask spread). In my case I would like to examine this for power prices. However, I don't have access to actual order book data. My approach would be now to test this theoretically by simulating for different bid-ask spread percentages of the prices two series with predetermined volatility (by using an Ornstein-Uhlenbeck process) to then somehow quantify the impact on the volatility. My question is if this approach is somewhat valid or if there are other possibilities.
If you want to model bid-ask spreads, I suggest you first read up on estimating bid-ask spreads. I have an overview here, but the gist of it is that the bid-ask spread affects estimates of the volatility. Microstructure models such as Kyle (1985) and Glosten and Milgrom (1985) show that the volatility affects the bid-ask spread. Note that none of these presumes an O-U model. Rather, the existence of a bid-ask spread induces a negative autocorrelation. You might want to consult Foucault, Pagano, and Röell's Market Liquidity for more information and background.