Skip to main content

Main menu

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Trading
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Trading

The Journal of Trading

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About the JOT
    • Editorial Board
  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

The Cost of Liquidity in the FX Market

Milan Borkovec, James Cochrane, Ian Domowitz and Christopher Escobar
The Journal of Trading Winter 2015, 10 (1) 6-19; DOI: https://doi.org/10.3905/jot.2014.10.1.006
Milan Borkovec
is a managing director at ITG in Boston, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: milan.borkovec@itg.com
James Cochrane
is a director at ITG in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: james.cochrane@itg.com
Ian Domowitz
is a managing director at ITG in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: ian.domowitz@itg.com
Christopher Escobar
is a director at ITG in New York, NY.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: christopher.escobar@itg.com
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

This article analyzes current trends in foreign exchange (FX) market liquidity and trading costs. In addition, the authors study the dynamics of various liquidity and volatility measures around the 2014 FIFA World Cup. Their major focus is on the size-adjusted spread cost—that is, the instantaneous cost of sweeping the limit-order book up to a specified deal size. However, the conclusions apply to other liquidity and volatility measures as well. The evidence obtained from analyzing consolidated FX data suggests that a great deal of emphasis should be put on detecting favorable times of the day and making trading decisions accordingly. FX trading costs, if not measured and managed correctly, constitute a significant drag on investment performance. Solutions now exist that could be leveraged to achieve better performance. Focus and measurement are the first necessary steps toward this goal.

TOPICS: Currency, analysis of individual factors/risk premia, global

  • Copyright © 2014 Investment Technology Group, Inc. All rights reserved. Not to be reproduced or redistributed without permission.
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Trading: 10 (1)
The Journal of Trading
Vol. 10, Issue 1
Winter 2015
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Trading.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
The Cost of Liquidity in the FX Market
(Your Name) has sent you a message from The Journal of Trading
(Your Name) thought you would like to see the The Journal of Trading web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
The Cost of Liquidity in the FX Market
Milan Borkovec, James Cochrane, Ian Domowitz, Christopher Escobar
The Journal of Trading Dec 2014, 10 (1) 6-19; DOI: 10.3905/jot.2014.10.1.006

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
The Cost of Liquidity in the FX Market
Milan Borkovec, James Cochrane, Ian Domowitz, Christopher Escobar
The Journal of Trading Dec 2014, 10 (1) 6-19; DOI: 10.3905/jot.2014.10.1.006
del.icio.us logo Digg logo Reddit logo Twitter logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • SURVEY EVIDENCE AND A LITTLE HISTORY
    • THE COST OF LIQUIDITY IN THE FX MARKET
    • INDICATIVE QUOTES AND THEIR TRADABLE COUNTERPARTS
    • LINKING FX COSTS TO INSTITUTIONAL EQUITY DEMAND
    • PRETRADE INFORMATION AND THE 2014 FIFA WORLD CUP
    • BUY-SIDE DATA AND THE WAY FORWARD
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • No citing articles found.
  • Google Scholar
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow PMR on LinkedIn
  • Follow PMR on Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2022 Pageant Media Ltd | All Rights Reserved | ISSN: 1559-3967 | E-ISSN: 2168-8427

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies