martedì 1 giugno 2010

I crash passati, presenti e purtroppo anche quelli futuri...

E' sempre confortante (o sconsolante, dipende dall'umore del momento) sapere che la storia si ripete: non dimenticherò il flash crash del 6 maggio mentre  il 28 maggio del 1962 non ero ancora nato. Scrive Jason Zweig: Some of the parallels between the two flash crashes are uncanny.
In this year's crash, many trades, especially in exchange-traded funds, went off at prices wildly different from the orders investors had placed. Likewise, in 1962, "some orders were executed at prices substantially different from those which prevailed when the order was entered," an investigative report by the Securities and Exchange Commission noted the following year.
Some high-frequency traders, which use powerful computers to make markets in stocks, stopped trading in this year's flash crash at the very moments when the market needed liquidity most urgently.
In 1962, high-frequency trading didn't exist, but "specialists" did. By law, specialists were obligated to try to maintain a fair and orderly market for each stock on the floor of the exchange. However, concluded the SEC's report, "At no time during the day did the specialist intervene in sufficient volume to slow the rapid deterioration of the market in IBM."
Even without the Internet, fear spread quickly in 1962. Investors piled into brokerage firms' "board rooms," where wall-mounted boards displayed market prices. "It was standing room only at Merrill Lynch, Pierce, Fenner & Smith," reported the Journal, "with spectators lined up three or four deep in the customers' gallery there."
As the SEC report noted a year later, "The markets' erratic behavior prompted concern and caused bewilderment at home and abroad. The frenetic activity of the break resulted in large and sudden losses for many and gains for some … this break had a strong and immediate psychological impact upon the Nation." 

Ancora dal Wall Street Journal e ancora sul flash crash del 6 maggio vi segnalo questo articolo di Mark Spitznagel, fondatore dell'hedge fund Universa (di cui Taleb è consulente). Universa è stato chiamato in causa per un ordine immesso pochi istanti prima del crash. Spitznagel chiama invece in causa ... la Fed, sostenendo che la politica di bassi tassi di interesse rende il sistema intrinsecamente più instabile e più fragile. Non credo che il signor Spitznagel sia esente dal bisogno di tutelare il buon nome del suo fondo, ma le sue argomentazioni non sono prive di senso:

Regulators have been busy searching for the cause of the May 6 "flash crash" when the market dropped by 9.3% and then recovered within minutes. I think it's a good bet no cause will be found; there is still no consensus on what triggered the one-day 20% stock market crash of 1987. But even if there was no trigger, market conditions created by the Federal Reserve's easy money policy definitely made the crash more likely.
The market is a critical system. (...)
Back to markets. Think of every investor holding a risky position. Then think of all of these investors together in a big herd. Each member of the herd focuses on what the others will do next, since the only reason anyone takes a position is because others are initiating like-minded ones.
When imitative behavior starts happening in markets en masse, expect funny things to happen to liquidity. All you need to know about market dynamics—as I learned as a Chicago pit trader—is that market prices always adjust to the level where market-makers see balanced two-way order flow between buyers and sellers. All market-makers want to do is buy at the bid price, sell at the offer price, and at the end of the day go home unscathed. When there are only buy orders, for instance, expect market-makers to be unwilling to sell to those buyers until the price has adjusted to the point where they see roughly equal buyers and sellers again. To expect them to do anything else is to imagine them as charities.
So when you combine imitative behavior with noncharitable market-makers, there will be seismic waves from time to time. What makes our current system particularly prone to global ruptures is that hair-trigger traders have crowded into exceedingly risky bets. Why would that be, with the crash of 2008 so fresh in traders' minds?
This type of alignment among investors in risky positions is precisely what the central economic planners at the Federal Reserve intended when, in response to the historic credit collapse, they commanded interest rates to zero and signaled that they would prop up all risky assets.
The profitability of an investment is simply its return on capital beyond the cost of that capital. It is against this spread that investors must assess risk. So when the Fed distorted the cost of capital following the 2008 collapse by lowering it for many by roughly 2% (to about 0% for banks), it had the same effect as the 2% higher aggregate dividend yield for stocks or higher credit spreads for investment grade bonds. Suddenly what was toxic looked cheap.
The Fed lured everyone to buy everything and anything that was risky—and did so itself with outright purchases of risky assets like mortgage-backed bonds. Anyone eager for easy profits fell right in line, bidding up dangerous assets like clockwork. Sensing safety in numbers, the herd quickly followed, and in no time the market had consumed the Fed's gifted 2% profit spread and then some.
All in all, it seemed like an impressively engineered recovery. In reality, it was an ephemeral illusion caused by distorting investors' assessment of risk. Despite what zero interest rates were signaling, savers flush with cash weren't flooding the capital markets and credit wasn't expanding.
The Fed has managed to align every little market fault right with each other such that they all succumb to the very same stresses at the very same time. Meanwhile—no surprise—the world remains a very seismically active place. What's extraordinary is that the Fed continues this intentional deception about the real cost of credit, even as we've repeatedly witnessed the consequences of this policy.

Il Wall Street Journal mantiene una pagina con i link agli articoli relativi al flash trading e argomenti collegati: potete seguirla cliccando qui.

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