mercoledì 6 ottobre 2010

L'effetto farfalla si abbatte sul ping pong del trading ad alta frequenza

I commenti al rapporto della commissione di inchiesta sul flash crash del 6 maggio sono decisamente illuminanti sul livello di confusione e incomprensione dei meccanismi che governano la dinamica dei mercati e l'impatto del trading ad alta frequenza. Secondo il Financial Times

One common assumption about markets is that high levels of trading activity means liquidity – when large positions can be bought or sold without affecting the price significantly. The report’s findings appear to undermine that.
“Just as there’s a difference in tennis or ping pong between the rally before the point and the point itself, in markets, there’s a difference between a position going back and forth between market makers and a position actually bought by a fundamental buyer who will hold it overnight,” said Gary Gensler, chairman of the CFTC, on Monday.
Mr Gensler said that a committee will consider the report and make recommendations to the CFTC and the SEC, in particular in three areas. The first issue is how investors place orders and whether customers such as Waddell & Reed of brokers - and the brokers executing orders for the customers - should be subject to trading limits or have an obligation for orderly execution.
The second question would be whether there should be more visibility on the full extent of orders.
The third would be whether there should be further “market pauses” – such as the circuit breakers introduced by regulators after the flash crash that can give traders time to rethink strategies in volatile markets.
The debate about the dominance of high-speed trading is unlikely to end soon. Lawmakers are waiting for the next moves from regulators – and the outcome of November’s congressional elections – but aides say they believe legislation will be needed and that the current circuit breaker proposals may be inadequate in preventing a future spiral of selling.

 E' tornato sull'argomento anche il Wall Street Journal che punta il dito sull'instabilità dei mercati e sui rischi che ne derivano, mirabilmente evidenziata dal rapporto secondo il quale il crash è stato innescato da un singolo cospicuo ordine di vendita nel mercato dei futures

The bigger issue, said Mr. Domowitz and others, was the degree to which market participants of all stripes pulled out of the market, causing the liquidity crisis.
Trading algorithms are today part of the standard tool kit offered by brokerage firms for professional traders. They are especially useful for institutional investors such as mutual funds that need to move big blocks of stock. At their most basic level, traders can choose among algorithms that factor in trading volume, changes in price and the amount of time desired to complete a trade.
According to some, the report underscored the brittleness of the electronic markets and the need for measures to prevent any one trade from having so profound an impact.
"Somebody could always put on a trade that's too big," says Larry Leibowitz, chief operating officer of NYSE Euronext, which operates the New York Stock Exchange. "The market should be able to handle a bad trade in an appropriate way, not by becoming disorderly." 

Questo tipo di instabilità richiama alla mente i fenomeni di instabilità che caratterizzano i sistemi deterministici caotici:

Bernard Donefer, a professor at Baruch College in Manhattan, says the stock market has become so complicated that assigning blame for the "flash crash" reminds him of the butterfly effect in chaos theory, where a butterfly flapping its wings leads to a tornado.
"What we have here is somebody doing what's in the best interest of their firm, and there was a cascade from there because we have such a complex market structure," says Mr. Donefer. "So do we blame the butterfly?"

Mi sembra una buona domanda. 

Qui potete vedere un video del FT che riassume gli avventimenti del 6 maggio e le conclusioni del rapporto della commissione di inchiesta. Qui sotto potete invece vedere un video del WSJ che discute le misure che potrebbero essere adottate per prevenire il ripetersi del flash crash

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