Just for the record, Dynomight proposed this back in 2022: https://dynomight.net/prediction-market-causation/#commit-to-randomization. (I assume that the idea has been around for longer.)
(Also I would phrase it as being able to use the same money to trade on all 1000 of the markets at once. I think that is equivalent to your free loan.)
Here are the relevant quotes:
Other than the difference in the portion of the markets you run (1/20 vs 1/1000), this is equivalent.
(It does not discuss liquidity costs, just the the randomization as a way to avoid having to take many random actions.)