medium · Market Microstructure market-impact
If an order X is divided across 2 separate but perfectly correlated stocks with the same σ, V, and γ, how does the total impact cost compare to executing the entire order X in just one of the stocks?
- The total cost is reduced by approximately 29%.
- The total cost remains exactly the same.
- The total cost is reduced by 50%.
- The total cost increases because of additional commissions.
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