Hello, is there any way to obtain the Kyle lambda or a price impact parameter starting from the bid-ask spread if the traded volumes are not available? Unfortunately Refinitiv does not offer the OTC transactions data. Therefore, for corporate bonds we have plenty of information on bid-ask spread, but most of them have no volume. I am aware of the Back and Baruch (2004) paper (https://www.jstor.org/stable/3598909), however it gives an approximation of the Kyle lambda using the bid-ask spread when volumes are known.
Thanks a lot
Mohammed Abdul Imran Khan
Dear Franscesco
May be this article will be helpful
https://www.ifin.usi.ch/assets/docs/seminars/collin-dufresne-informed-196854.pdf
regards
Imran
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