sabato 25 settembre 2010

Nuovi airbags per il trading ad alta frequenza?

Il trading algoritmico computerizzato e' responsabile di buona parte degli scambi che avvengono sui mercati regolamentati: ad esempio la settimana 
scorsa  il trading algoritmico ha prodotto circa il 42% dei volumi negoziati ogni giorno a New York (corrispondente a piu' di un miliardo di azioni scambiate giornalmente e complessivamente oltre cinque miliardi di azioni scambiate alla settimana).

Volume in millions of shares for the week ending
Sept. 17, 2010

Morgan Stanley20.1590.91,154.0
Goldman Sachs0.7536.2751.7
Credit Suisse3.8386.3394.7
Deutsche Bank34.9298.0332.9
Barclays Capital.....322.9388.1
SG Americas40.5196.4236.9
Merrill Lynch.....229.3275.8
Wedbush Securities.....190.1190.1
RBC Capital57.388.5145.8
J.P. Morgan.....133.5133.5
BNP Paribas.....109.1109.1
Citigroup Global.....105.3243.3
UBS Securities.....98.698.6
SIG Brokerage61.231.792.9
RBS Securities.....67.867.8
ABN Amro.....48.548.5
Interactive Brokers0.141.341.4
Nomura Securities.....37.837.8
OVERALL TOTAL238.93,796.75,047.8
*Total includes crossing session 2
Source: New York Stock Exchange

In attesa di conoscere il rapporto finale della commissione istituita dalla S.E.C.,  al trading computerizzato ad alta frequenza e alla polverizzazione dei mercati elettronici in numerose piattaforme non armonizzate e' stata da alcuni attribuita la causa del flash crash del 6 maggio scorso. Secondo il Wall Street Journal

Stock-exchange operators and regulators are moving closer toward replacing new circuit breakers for individual stocks with curbs that would limit trading outside of a set range, according to people familiar with the matter.
The U.S. Securities and Exchange Commission has stepped up talks with exchange operators and market participants over establishing in equities markets the "limit-up/limit-down" system already in place for futures trading in the equity market.
The circuit-breaker system briefly halts trading in a specific stock if its price drops or rises by a certain percentage in five minutes. The limit-up/limit-down model would prevent investors from trading beyond the parameters that currently trigger the circuit breakers, but would allow traders to continue buying and selling stocks within those parameters and not freeze trading in that stock altogether.
The changeover could happen in the fourth quarter, after the current circuit-breaker pilot program expires in December, the people familiar with the matter said. Regulators and exchanges are continuing to shape new rules in response to the "flash crash" of May 6, a swift plunge in U.S. stock benchmarks that saw some stocks briefly trade at one cent per share before the market staged a quick recovery. Thousands of trades were canceled and a new system of circuit breakers was soon implemented to curb rapid price swings.
Industry consensus has built around the concept since it was first floated by exchanges and trading firms in June, though many of the key details have yet to be worked out. Regulators have said they are interested in exploring the idea further.
"One method we are examining closely involves establishing limit-up/limit-down style trading parameters under which trades would have to be executed within a range tied to the national best bid and offer," SEC Chairman Mary Schapiro said at the Security Traders Association conference in Washington on Wednesday.
"This approach would prevent aberrant trades from occurring outside specified parameters, while still allowing trading to continue within the established limits," she said.

1 commento:

giovanni.gambino ha detto...