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#1

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. What am I missing here?

Sorry if the question has already been answered, but I couldn't find it.

Many thanks in advance!

Clement

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. What am I missing here?

Sorry if the question has already been answered, but I couldn't find it.

Many thanks in advance!

Clement

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