Our goal is to estimate empirically, for the first time, the cosmic variance that affects merger fraction studies based on close pairs. We compute the merger fraction from photometric redshift close pairs with 10h^-1 kpc <= rp <= 50h^-1 kpc and Dv <= 500 km/s, and measure it in the 48 sub-fields of the ALHAMBRA survey. We study the distribution of the measured merger fractions, that follow a log-normal function, and estimate the cosmic variance sigma_v as the intrinsic dispersion of the observed distribution. We develop a maximum likelihood estimator to measure a reliable sigma_v and avoid the dispersion due to the observational errors (including the Poisson shot noise term). The cosmic variance of the merger fraction depends mainly on (i) the number density of the populations under study, both for the principal (n_1) and the companion (n_2) galaxy in the close pair, and (ii) the probed cosmic volume V_c. We find a significant dependence on neither the search radius used to define close companions, the redshift, nor the physical selection (luminosity or stellar mass) of the samples. We provide a parametrisation of the cosmic variance with n_1, n_2, and V_c, sigma_v = 0.48 n_1^{-0.54} V_c^{-0.48} (n_2/n_1)^{-0.37}. Thanks to this prescription, future merger fraction studies based on close pairs could account properly for the cosmic variance on their results.

18 pages, 16 figures, 9 tables. A&A, in press