Thread by @choffstein

This is the most uncomfortable piece of research I’ve ever written.

I don’t believe everything in it with the same conviction.

But I think the evidence – circumstantial as it is – when taken together, paints a very interesting picture about the current market structure.

https://twitter.com/choffstein/status/1304218462684950531

If you want to hear more intelligent people speak on some of these topics, I’d recommend:

@bennpeifert on OddLots (bloomberg.com/news/audio/202…)

@profplum99 on Grant Williams (podcasts.apple.com/us/podcast/the…)

@ArtemisVol has some really thought-provoking stuff on reflexivity and liquidity (artemiscm.com/welcome#resear…)

I would also highly recommend this paper by Vineer Bhansali (longtailalpha.com/wp-content/upl…)

@ArtemisVol The Rise of Carry is a really interesting book that came out this year that touches on many of the same topics, but from a different angle (amazon.com/Rise-Carry-Con…) is also a fun read that came out this year.

The authors of The Rise of Carry did a podcast with @HiddenForcesPod here: hiddenforces.io/podcasts/the-r…

(h/t @DanielAndrewMe)