Il New York Times dedica un articolo ai mini flash crash, il susseguirsi di inspiegabili crolli del 50% o più di titoli azionari U.S.A. che si consumano in pochi minuti. Ad esempio il 27 settembre scorso il titolo di una utility U.S.A. Progress Energy PGN, una società di una certa consistenza con una capitalizzazione di borsa di oltre 13 miliardi di dollari, subì un crollo di quasi il 90% in pochi secondi. La variazione improvvisa e apparentemente inspiegabile di prezzo di PGN è una replica in miniatura del crollo del 6 maggio scorso. Secondo il NYTimes
Since the Dow Jones industrial average fell about 700 points then largely recovered on May 6, setting the financial world on edge, similar flash crashes have occurred with alarming frequency in more than a dozen individual stocks.
Citigroup, Core Molding, the Washington Post Company — all have soared, plunged, and often both, in wild, seemingly inexplicable trading. An exchange-traded fund, a popular investment that is basically an index fund that trades like stocks, has also been given the flash treatment, although that was attributed to a software error.
To some analysts, these mini flash crashes are a sign that another big one is possible, if not probable. Others say these abrupt reversals are simply the way modern, lightning-quick markets work, and that investors had better get used to it.
Questo tipo di mini-crolli sta allarmando alcuni specialisti che temono il manifestarsi di una instabilità intrinseca nella dinamica ad alta frequenza dei mercati borsistici:
“It’s like seeing cracks in a dam,” said James J. Angel, professor at the McDonough School of Business at Georgetown University. “One day, I don’t know when, there will be another earthquake.”
Andrew W. Lo, director of the Laboratory for Financial Engineering at M.I.T., said: “I am worried about the potential instability that these technologies create in market dynamics. The U.S. equity markets have become the Wild, Wild West.”
Non sono solo gli accademici a essere preoccupati dalla struttura frammentaria della borsa americana, nella quale un titolo viene scambiato simultaneamente in oltre una dozzina di diversi mercati elettronici, e dal rischio di manipolazione da parte di traders che impiegano algoritmi ad alta frequenza con scambi azionari che avvengono su una scala temporale dell'ordine dei microsecondi.
“What we have today is a complete mess,” said Thomas Peterffy, chief executive of Interactive Brokers, one of the largest brokerage firms in the country. “Over the last 10 years, technology delivered great benefits, but in the last year or so, it is not so good. There is more room for the various games some people play.”
This month, a software update at the New York Stock Exchange’s electronic Arca exchange brought a nearly 10 percent plunge in an exchange-traded fund that tracks the Standard & Poor’s 500-stock index.
In all the mini flash crashes, trades that took place after the plunge were canceled.
Most of the mini crashes were blamed on computer malfunctions or human error. (...)
The authorities are contemplating other ways to make trading safer and are considering refining circuit breakers to stop erroneous trades from taking place.
A Securities and Exchange Commission official said the agency was closely watching the cases where individual stocks had set off circuit breakers, but had found that each case had “its own story.” The official added, “We are learning from them, and so far it is hard to extrapolate too much as to the general trends in the market.”
On Monday, the S.E.C. banned stub quotes, which were singled out for blame in the May 6 flash crash. These were place-holding price quotes, far from the market price, put up by market makers that are required to post quotes, but do not really want to buy or sell shares.
“While we continue to look at other potential obligations for market participants, this is an important step in our effort to improve the functioning of the U.S. markets and restore investor confidence following the events of May 6,” Mary L. Schapiro, the S.E.C. chairwoman, said in a statement.
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mercoledì 10 novembre 2010
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
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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