Corey Hoffstein On How The Fed, Passive Investors And HFT Create Liquidity Cascades
Macro Hive Conversations With Bilal Hafeez · Macro Hive
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Show Notes
Corey recently wrote an excellent piece on market liquidity and I had to have him as a guest. For background, he is co-founder and Chief Investment Officer of Newfound Research, a quantitative tactical asset management firm. At Newfound, he is responsible for portfolio management, investment research, strategy development, and communication of the firm's views to clients. He holds a Master of Science in Computational Finance from Carnegie Mellon University. In this podcast we discuss:
- How central banks have pushed investors up the risk curve
- How central banks have introduced moral hazard to investors
- The importance of passive investing as marginal flow into assets
- The impact of passive on how trades are executed
- The procyclicality of HFT liquidity provision
- How dealers hedging magnifies volatility shifts
- The prevalence of volatility contingent strategies in markets
- When do liquidity cascades end
- How to position of liquidity cascades
- Books that influenced Corey: Fooled by Randomness (Nassim Taleb) and Red-Blooded Risk (Aaron Brown)