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Ian Domowitz
Researcher at Investment Technology Group, Inc.
Publications - 36
Citations - 1406
Ian Domowitz is an academic researcher from Investment Technology Group, Inc.. The author has contributed to research in topics: Market liquidity & Portfolio. The author has an hindex of 16, co-authored 36 publications receiving 1361 citations. Previous affiliations of Ian Domowitz include College of Business Administration & Northwestern University.
Papers
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Journal ArticleDOI
Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time
TL;DR: In this article, the authors examined the interactions between cost, liquidity and volatility, and analyzed their determinants using panel data for 42 countries from September 1996 to December 1998, showing that increased volatility, acting through costs, reduces a portfolio's expected return.
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Market Segmentation and Stock Prices: Evidence from an Emerging Market
TL;DR: In this paper, the authors examined the relationship between stock prices and market segmentation induced by ownership restrictions in Mexico, focusing on multiple classes of equity that differentiate between foreign and domestic traders, and between domestic individuals and institutions.
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Liquidity commonality and return co-movement
TL;DR: In this paper, the authors show that return and liquidity commonality are caused by different economic forces, and that it is possible for assets to have little return correlation but high liquidity commonality.
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The Cost of Algorithmic Trading: A First Look at Comparative Performance
Ian Domowitz,Henry Yegerman +1 more
TL;DR: Algorithmic trading is found to be a cost-effective technique, based on a measure of implementation shortfall, and the superiority of algorithm performance applies only for order sizes up to 10% of average daily volume; however, certainty of outcome declines sharply with the size of the order.
Patent
System and method for generating real-time indicators in a trading list or portfolio
TL;DR: In this article, a system and method for detecting abnormal trading condition of a security using real-time and estimated values of one or more variables associated with the condition of the security was proposed.