Python code for replicating the effective spread estimator of Corwin, S. A., & Schultz, P. (2012). A simple way to estimate bid‐ask spreads from daily high and low prices. The journal of finance, 67(2), 719-760
The script follows the logic and structure of the SAS code provided in Corwin's website and as such it should be regarded as a translation from SAS to Python.