Roll (1984) effective spread from trade prices alone: 2*sqrt(-cov(dP_t, dP_{t-1})) over a trailing window.
Window length in observations.
Warmup behaviour.
https://screamer.readthedocs.io/en/latest/ for the Python reference and full details.
Roll (1984) effective spread from trade prices alone: 2*sqrt(-cov(dP_t, dP_{t-1})) over a trailing window.