Cold call or headhunter?

I am looking for an Associate position with a FIG Group in NYC so I have narrowed down the banks/ boutiques I would like to apply to. I don't have any contacts at these groups since I currently work in Europe so I was going to go through headhunters to apply as your CV usually gets more attention that way.
Having been involved in recruiting myself at my current firm however I know that banks are somewhat more cost conscious and having to pay for for a headhunter was a disadvantage for some applicants.
Anybody else had similar experiences/ thoughts? How do you go about cold calling if you literally don't know anybody in this group? I understand it's a lot more common in the US to do so. Any advice is much appreciated! Thanks!

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