It's a huge number that only makes context when looking at the absurd scale of capital markets globally. BlackRock has written on the cost of liquidity [1]. Unfortunately, much of the institutional research on this topic is in a walled garden, so we plan on publishing on this when we have our own data. Treating it as a Fermi problem, the market cap of US equities is ~50T and 140T notional of US equities traded in 2021. The global market cap is 125T (I don't have trading volumes there). FICC is much larger than equities.
Portfolio returns compound exponentially, so even small inefficiencies matter big time.
Portfolio returns compound exponentially, so even small inefficiencies matter big time.
[1] https://www.blackrock.com/corporate/literature/whitepaper/vi...