lunedì 17 maggio 2010

Sparare ai pesci in un barile: il parco buoi del nuovo millennio?

Un articolo sul New York Times di ieri aiuta a farsi un'idea di come si svolge oggi il trading ad alta frequenza (high frequency trading, HFT):

Depending on whose estimates you believe, high-frequency traders account for 40 to 70 percent of all trading on every stock market in the country. Some of the biggest players trade more than a billion shares a day. These are short-term bets. Very short. The founder of Tradebot, in Kansas City, Mo., told students in 2008 that his firm typically held stocks for 11 seconds. Tradebot, one of the biggest high-frequency traders around, had not had a losing day in four years, he said.
But some in Washington wonder if ordinary investors will pay a price for this sort of lightning-quick trading. Unlike old-fashioned specialists on the New York Stock Exchange, who are obligated to stay in the market whether it is rising or falling, high-frequency traders can walk away at any time. (...)
“The market structure has morphed from one that was equitable and fair to one where those who get the greatest perks, who have the speed, have all of the advantages,” said Sal Arnuk, who runs an equity trading firm in New Jersey.
High-frequency traders insist that they provide the market with liquidity, thus enabling investors to trade easily.
“The benefits of the liquidity that we bring to the markets aren’t theoretical,” said Cameron Smith, the general counsel for high-frequency trading firm Quantlab Financial in Houston. “If you can buy a security with the knowledge that you can resell it later, that creates a lot of confidence in the market.”
The high-frequency club consisting of 100 to 200 firms are scattered far from the canyons of Wall Street. Most use their founders’ money to trade. A handful are run from spare bedrooms, while others, like GetCo in Chicago, have hundreds of employees.
Most of these firms typically hold onto stocks for a few seconds, minutes or hours and usually end the day with little or no position in the market. Their profits come in slivers of a penny, but they can reap those incremental rewards over and over, all day long.
What all high-frequency traders love is volatility — lots of it. “It was like shooting fish in the barrel in 2008. Any dummy who tried to do a high-frequency strategy back then could make money,” said Manoj Narang, the founder of Tradeworx.

Intanto che si continua a investigare sul flash crash del 6 maggio, gli investitori che usano le stop-loss non hanno ancora finito di leccarsi le ferite: scrive il Wall Street Journal

Last Thursday's "flash crash" gave investors a crash course in the perils of stop-loss orders.
A stop-loss order is designed to protect investors by triggering a sale once a stock reaches a certain target. The trades are computer-activated and are based on criteria set up by the investor in advance. Many of them were triggered on May 6 as hundreds of stocks briefly plunged by 20% or more.
The problem? Because prices were falling so rapidly, the stop-loss trades couldn't be made quickly enough, and many people's shares were sold at prices far below their trigger price. Most of the stocks then rebounded quickly, making the episode all the more painful for the people who had been bounced out at the bottom.(...) stop-loss orders can be much more dangerous than their name would imply.
Even the term "stop-loss order" is widely misunderstood. That is because, technically, once a stock's price reaches the target, the stop-loss converts to a market order, meaning the trade is automatically executed at the market price.
For example, an investor who owns a stock trading at $50 could set up a stop-loss order at $40. But if the stock is falling quickly it could blow right through $40; it might next change hands for $30, $20 or even one penny, and that is where the trade would be executed.
(...) It's difficult to pin down how widely stop-loss orders are used and who uses them. Federal regulations generally prohibit brokers from placing stop-loss orders without first securing their clients' permission. The Securities and Exchange Commission is looking at the use and impact of stop-loss orders as part of its review of what caused the flash crash. "We believe it is critical to understand the causes and effects of this event," SEC Chairman Mary Schapiro said Tuesday in her prepared remarks before a congressional hearing, "so that we can work to ensure that it does not occur again."
Matt Billings, director of trading services for online brokerage Scottrade, suggests that investors add a "limit" to their stop-loss order, thus ensuring that a stock won't be automatically sold at an artificially low price.(...)
With a stop-limit order, traders typically enter two prices—a stop price and a limit price, or the lowest price at which the stock can be sold. People with stop-limit orders fared significantly better last week than those with regular stop-loss orders. (But a stop-limit order has risks, too: If a stock plunges and never comes back, a la Bear Stearns, the stock might not be sold at all.)

Nelle ultime settimane ho un po' trascurato le notizie sulle investigazioni in corso negli USA, che si sono estese ben oltre l'affaire Paulson-Goldman. Potete aggiornarvi ed approfondire le notizie a questo link del Wall Street Journal.

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