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Market Impact
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The effect of the positions bought or sold on the price paid or received for a security. For example, if the market for a single lot is 1/2 to 5/8 and a sale of 10,000 shares occurs at 1/4, the market impact is said to be the nominal bid at 1/2 minus the sale price at 1/4, or 1/4. Market impact is often the largest component of trading cost for a large transaction and for a large investor. See also Transaction Cost.
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