medium · Market Microstructure
A stock has an average daily volume (ADV) of 1,000,000 shares and daily volatility of 2%.
Using a square-root impact model with γ = 0.5, what is the estimated impact cost in dollars for selling 40,000 shares at a price of 100 in one day?
- 8,000
- 40,000
- 1,600
- 16,000
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