-The square root law of impact. -Black Scholes Merton time variance adjustment (d1 vs d2) -market among size ie scale spreads with vol * sqrt(expected holding time)
In fact 3 implies 1.
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Sigma * sqrt(t)
This formula is found in many areas.
-The square root law of impact.
-Black Scholes Merton time variance adjustment (d1 vs d2)
-market among size ie scale spreads with vol * sqrt(expected holding time)
In fact 3 implies 1.