giovedì 20 maggio 2010

Ancora sul flash crash

Aggiornamenti sull'analisi e le conseguenze del flash crash del 6 maggio:
  • Dal New York Times: la S.E.C. ha deciso di estendere i  circuit breakers a tutti i mercati, sperando che questo renda più improbabile il quasi-collasso del 6 maggio scorso. The circuit breakers will pause trading in those stocks for five minutes if the price moves by 10 percent or more in a five-minute period. The trial run will begin after a 10-day comment period and will last through Dec. 10, the commission said. The circuit breakers will apply both to rising and falling stock prices. But in a separate report, the S.E.C. and the Commodity Futures Trading Commission said that they had not been able to pinpoint the cause of the sharp market decline that shook investors and markets two weeks ago.(...)
    Generally, the agencies said, the drop was caused by traders stepping back from the market and refusing to buy or sell, in both the stock and futures markets. The government found that there was also a heavy reliance by investors on automated orders to sell at the market price once stock prices had declined by a certain amount. Further, there were different rules on different exchanges about when trading is automatically slowed or stopped.
    The agencies said they had found no evidence that the market decline was caused by so-called fat finger trading errors, or by computer hacking or terrorist activity. They added, however, “we cannot completely rule out these possibilities.” (...) the proposed individual circuit breakers announced Tuesday apply only to stocks in the S.& P. 500.
    The S.E.C. also said it intended to further review the role of the so called self-help mechanism, under which one exchange can refuse to route orders to another if it perceives that orders are not being filled quickly enough. That type of rerouting, around the most liquid markets and to markets where fewer investors were trading, was believed by the agencies to have exacerbated the decline on May 6. For example, as trading slowed on the Big Board because of circuit breakers, orders were routed around the exchange to smaller markets where prices quickly plunged. 
  • Dal Wall Street Journal si mette in guardia sul rischio che i provvedimenti presi aumentino la volatilità anzichè diminuirla:
    Where would investors turn if stocks stopped trading?
    The answer may come soon, with U.S. regulators Tuesday announcing requirements for a five-minute trading halt on any stock that moves more than 10% within any five-minute period. Eventually, the rules also will apply to exchange-traded funds.(...)
    The sacrifice: Investors could lose liquidity in many shares when markets get rough. Credit Suisse's Portfolio Strategy Group estimates the regulations would have prompted on average about 40 daily halts among S&P 500 stocks in October 2008.
    The potential for such a freeze might lead more investors to consider stock-index futures. The S&P 500 futures contract continued trading May 6 when hundreds of stocks would have been halted under the new rules. More demand for futures could make such markets deeper, boosting revenue for exchange operator CME Group.
    But if many stocks stop trading, futures markets could face strain as liquidity-deprived investors turn there to sell. The result may be a futures-market plunge, pulling other stocks lower.(...)
    Unless rules are coordinated more closely across stock and derivatives exchanges, halts may merely divert volatility to instruments that continue trading. While circuit breakers should help, halting volatile individual stocks might not be enough to rule out another big swoon.

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