L'intelligent investor di Jason Zweig questa settimana è dedicato alle contestazioni fatte al trading ad alta frequenza da parte dei gestori di fondi di investimento e più in generale da tutti gli investitori con orizzonti temporali di medio-lungo termine. Secondo Zweig
They're mad as hell, and they're not going to take it anymore.
On Oct. 4, mutual-fund executives will convene in Washington at the Investment Company Institute, the trade association for fund managers. People familiar with the situation say a few attendees are determined to push for a plan to restrict high-frequency trading, the rapid market activity that lately has caught the attention of investors large and small.
Using powerful computers and data feeds, high-frequency trading firms typically hold stocks a few minutes and sometimes only a few seconds at a time, churning roughly half of total stock-market volume. Whenever you—and your mutual fund or pension plan—buy or sell a stock, one of these fast-trading firms is likely to be on the other side of the trade. The problem? While some fund leaders have praised high-frequency trading for making markets more efficient, others contend that the profits earned by fast traders may come partly at the expense of ordinary investors.
Gli ordini degli investitori istituzionali più grandi (fondi di investimento e fondi pensione) sono così grandi che devono necessariamente essere suddivisi in tanti ordini più piccoli per evitare di spostare troppo il prezzo dell'azione interessata.
So institutions trade in dribs and drabs. A giant buy order would push up a stock; a huge sell order would knock it down. "Would you leave $100 in cash on the street corner and hope nobody takes it, or would you hide it in your pocket?" asks Andrew Brooks, head of U.S. equity trading at T. Rowe Price. "Information about our order flow is valuable, and we need to protect it."
Any institutional order for a couple hundred shares can have thousands or even millions of shares behind it. A fast trader that can infer which orders were placed by a big institution gains an insight into how stock prices may be about to change. Whoever gets there first stands to make a tiny profit on each of those trades.
La richiesta è quella di rendere ancora più anonimi gli ordini, sopprimendo gli order ID - a kind of tag that, according to several traders, may assist a fast trader in deducing whether a large institution lurks behind a small order.
Più in generale l'accusa che viene mossa dagli istituzionali è che la struttura attuale del mercato favorisce troppo nettamente chi fa trading ad alta frequenza. L'esempio descritto qui sotto è illustrativo delle distorsioni e delle asimmetrie che in questo momento dominano il trading:
"There are aspects of the market structure which give [fast traders] an unfair advantage," says Manoj Narang, chief executive of Tradeworx, a high-frequency firm in Red Bank, N.J., that trades about 200,000 times a day, turning over roughly 50 million shares. "And those should be changed."
One such practice: 1,000 shares are offered for sale at $20, and someone wants to buy 2,000 shares at $20. The buyer should be able to purchase the 1,000 shares immediately, while the other 1,000 shares should instantly show as the new "best bid" at $20.
Instead, says Mr. Narang, while the 1,000-share purchase goes through right away, the open order to buy another 1,000 is displayed to the entire market at a slight delay. Traders that can place orders faster can jump ahead, putting them in the best position to buy more shares at $20, in hopes of reselling them at a higher price. Mr. Narang says this occurs "at least tens of thousands of times per day."
Whom should the market be designed to serve: Short-term traders or long-term investors? Is it serving both fairly?
Il tema della "best execution" degli ordini sul mercato è discusso anche in questo articolo del New York Times che esamina in particolare il ruolo della S.E.C. e i suoi insuccessi recenti. Secondo il NYTimes
over the last decade, the Securities and Exchange Commission failed badly when it came to requiring stock markets to treat individual investors fairly. Markets that worked for such investors were replaced by ones that could not care less about them.
As Mary L. Schapiro, the S.E.C. chairman, put it, in the old system “the market participants with the best access to the markets” — New York Stock Exchange specialists and Nasdaq market makers — “were subject to significant trading obligations that were designed to promote fair and orderly markets and fair treatment of investors.”
“These traditional obligations,” she added in a speech to the Economic Club of New York this month, “have fallen by the wayside.”
The S.E.C. stood by as newer electronic markets evolved and came to dominate trading. The traders with the best access now have few if any obligations to investors.
Most of the time the new structure works well. But when it does not, individual investors can be the losers because markets cheat them in ways that would have been unthinkable — and probably illegal — only a few years ago.
Now the commission is trying to recover. This week the nation’s stock markets proposed new rules — rules that were agreed to after heavy pressure from the S.E.C. — to force market makers to stop posting ridiculous “stub” quotes. These days, such quotes are put up by market makers that are required to post quotes but do not really want to buy or sell shares. Those rules will do a little. But not much.
Un problema centrale è dunque come costringere un market maker a svolgere il compito al quale è chiamato. Lo status di market maker si accompagna a privilegi indiscutibili, ma come troppo spesso accade nel mondo della finanza da molti anni a questa parte, i privilegi non sono bilanciati da obblighi sostanziali. Il flash crash del 6 maggio scorso è un esempio di come queste asimmetrie lungi dal rendere i mercati più liquidi ed efficienti possano generare mostruosità:
There are two principal advantages to being a registered market maker on an exchange. The first is that capital requirements are eased. The second is that such firms can avoid buy-ins — where they are forced to buy stock that they did not deliver when they sold it — for a few days longer than other firms.
There are no real obligations for the role, however, at least in some markets. Instead, it is assumed that liquidity will be provided by traders with fast computers. Most of the time it is. But those traders can withdraw from the market whenever they choose to do so.
They did that on May 6. For some stocks, the only bid left was a stub quote of one cent, and the computers executed at that price. The sellers were unfortunates who had put in orders to sell at the market price — assuming wrongly that the market would function. Other losers were those who had put in stop-loss orders to sell if a stock fell below a specified price.
In the aftermath, officials canceled trades made at prices at least 60 percent below the previous day’s closing price. But if you sold for half what the share was worth in a real market, you were out of luck.
No such trades happened at the New York Stock Exchange, which had rules to slow down trading and let someone with a brain look first when trading got out of hand.
Infine c'è sempre il problema della trasparenza, sul quale si continua a dibattere ma non si registrano purtroppo sostanziali passi avanti:
Another idea from Ms. Schapiro — that ways should be found to make more trades public immediately — would have seemed equally curious. Virtually all trades were already disclosed.
Now, however, there are “dark pools” whose bids and offers are not exposed to the entire market, and some institutions swear they need them to be sure others do not figure out their trading strategies. And there are brokerage firms that “internalize” orders and do not let the rest of us in on what they are doing as they match buyers and sellers.
“They now execute nearly 30 percent of volume,” Ms. Schapiro said of the internalizers and dark pools. “What is the effect of these venues on public price discovery and market stability?
More transparency is needed, and it will take rules to accomplish that.