2025-12-25 18:51:08

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.

This page may contain third-party content, which is provided for information purposes only (not representations/warranties) and should not be considered as an endorsement of its views by Gate, nor as financial or professional advice. See Disclaimer for details.