Search results

Many thanks David for the answer. What I meant was that we can simply compute the liquidation costs as: (11-9)/2*10 + (21-19)/2*20 and we get the same answer. In other words, the liquidation cost formula can be written as the sum{ (offer-bid)/2 * shares} and there is no need for the middle...

Hello, I was just wondering something that may be fairly basic: why do we express the cost of liquidation of an entire book as s*alpha/2, when this could be simplified? Namely, the mid-market price components cancel each other out, and we could just have 0.5*(offer-bid)*number of positions...