lunedì 10 maggio 2010

Cos'è veramente successo giovedì 6 maggio?

Cosa è successo veramente giovedì 6 maggio?

Qui trovate un breve pezzo dell'Economist sull'argomento,
qui un pezzo su significativamente intitolato The day the market almost died (courtesy of high frequency trading), qui
e qui due articoli del Wall Street Journal ma mi pare che l'analisi migliore - benchè ancora largamente incompleta e insoddisfacente - dell'incredibile quasi meltdown del mercato azionario USA di giovedì scorso sia quella apparsa sul New York Times ieri. Scrive il NYTimes:

The initial focus of the investigations appeared to center on the way a growing number of high-speed trading networks interact with one another and with venerable exchanges like the New York Stock Exchange. Most investors are unaware that these competing systems have fractured the traditional marketplace and have displaced exchanges like the Big Board as the dominant force in stock trading.
The silence from Washington cast a pall over Wall Street, where shaken traders returned to their desks Friday morning hoping for quick answers. The markets remained on edge, as the uncertainty over what caused Thursday’s wild swings added to the worries over the running debt crisis in Greece.
In a joint statement issued after the close of trading, the S.E.C. and the Commodity Futures Trading Commission said they were continuing their review. And the two agencies indicated they were looking particularly closely at how different trading rules on different exchanges, which temporarily halted trading on some markets while activity in the same stocks continued on other markets, might have contributed to the problem. 

“We are scrutinizing the extent to which disparate trading conventions and rules across various markets may have contributed to the spike in volatility,” the statement said.
A government official who was involved in the investigation said regulators had moved away from a theory that it was a trading mistake — a so-called fat finger episode — and were examining the links between the futures and cash markets for stocks.
In particular, this official said, it appeared that as stock trading was slowed on the New York Exchange when big price moves started, orders moved automatically to other, electronic exchanges that did not have pricing restrictions.
The pressure in the less-liquid markets was amplified by the computer-driven trades, which led still other traders to pull back. Only when traders began to manually respond to the sharp drop did the market seem to turn around, said the official, who spoke on the condition of anonymity because the investigation was not complete.
On Friday evening, another government official directly involved in the investigation said that regulators had not yet been able to completely rule out any of the widely discussed possible causes of the market’s gyrations.
This official, who also spoke on the condition of anonymity, said that regulators had collected statistical and trading data from stock and futures exchanges, and had begun cross-analyzing that with trading reports from brokerage firms and large market participants. Regulators have also gathered anecdotal accounts of what happened from hedge funds and other trading firms.
The two major regulatory agencies — the Securities and Exchange Commission and the Commodity Futures Trading Commission — have generated multiple memos detailing what they have found and offering possible causes for the market events. Among the issues discussed in the memos, the official said, were the disparate rules that different stock exchanges have for dealing with large price movements on the same securities and how prices on futures markets and stock exchanges appeared to lead or follow each other’s movements down and back up.(...)
The absence of a unified system to halt trading in individual stocks led to bitter accusations between exchanges on Friday. Robert Greifeld, chief executive of Nasdaq OMX, appeared on CNBC to criticize the New York Stock Exchange for halting trading for up to 90 seconds in half a dozen stocks on Thursday.
“Stopping for 90 seconds in time of crisis is exactly equivalent to not picking up the phone,” Mr. Greifeld said.
A few minutes later, Duncan L. Niederauer, chief executive of NYSE Euronext, responded in an interview on CNBC, blaming Nasdaq’s computers for continuing trading while the market was in free fall.
“These computers go out and just find the next bid they can find,” he said.
Mr. Niederauer acknowledged the need to introduce circuit-breakers along the lines of those already in place on the Big Board, and his views were echoed by some chief executives of the new exchanges. 

Secondo molti la responsabilità di quanto è accaduto è dunque da ricercarsi principalmente  nell'assurda organizzazione dei mercati finanziari moderni (cioè dopo RegNMS negli USA (2005) e MiFid in Europa (2007)). Oggi negli USA ci sono circa 50 market venues dove trattare la stessa azione (e il volume degli scambi che avvengono sul NYSE è ormai ridotto a circa il  20% del volume complessivo). Tuttavia i  meccanismi di controllo (come i circuit breakers) non sono centralizzati, quindi se un market venue si ferma, gli order routers cercano liquidità in altre venues e se la liquidità non c'è il prezzo crolla. Il NYTimes torna oggi sull'argomento con un articolo.

Sempre il NYTimes ha pubblica un Op-Ed di Michael Durbin su come evitare che si ripetano tali episodi
(o crolli ancora peggiori): mi sembra che le considerazioni di Durbin siano largamente condivisibili. In particolare sono completamente d'accordo con la richiesta pressante di una maggiore trasparenza, che consenta l'identificazione degli agenti sui mercati: ho evidenziato in grassetto alcuni punti a mio avviso di fondamentale importanza

(...) Let’s start with the insider trading charge. Often, when an exchange operator receives an investor order and finds that another exchange has a better price, it will “flash” the order to a few select traders in its exchange a split second before sending it to market, giving those traders an opportunity to improve their price, too. When used properly, flashing ensures that investors trade at the best available prices. But that hair’s breadth of time also gives high-frequency traders an opportunity to make a tidy profit off what amounts to insider information. How? Rather than improve their price, the recipient of a flash can go to the other exchange, buy up all the assets at better prices, and force the original investor to trade with them at an inferior price.
We don’t allow trading based on private knowledge of pending business deals or court rulings, and we shouldn’t allow it in high-frequency trading, either. But that doesn’t mean we should ban flashing all together. Instead, to deter abuse, anyone who gets a preview of a trade, whether by phone or flash, should be required to register with an exchange and keep records of every negotiation.
A trickier problem lies with the software that handles the trades (...)  the rapid development of automated-trading software and the maddening complexity of even the most simple systems make the introduction of technological errors inevitable. While it’s true that electronic exchanges require trading software to be certified before it is used, there is no market-wide standard for testing the software and nothing to effectively stop a firm from trading with uncertified software.
Financial regulators should take a page from the Federal Aviation Administration and the National Transportation Safety Board and develop quality standards for trading software, as well as investigatory procedures that would allow the industry to learn from episodes like Thursday’s.
Finally, the Securities and Exchange Commission needs better access to the fire hose of data hitting the market each day. Because a great number of trades go through middlemen, regulators have no easy way of even knowing who the high-frequency traders are. With millions of trades made every day, this administrative hurdle means traders are essentially anonymous to regulators.
This opacity allows firms to reap benefits intended for nonprofessional investors. Many exchanges, for example, have rules that require them to fill orders from retail investors before those from pros. Anonymity allows professionals to masquerade as amateur investors and thus get their trades in faster.
But there’s an easy solution here as well: the Securities and Exchange Commission should require that everyone who originates a trade be identified. The commission is reported to be working on just such a rule, and it can’t come soon enough. Otherwise, it’s akin to asking someone to officiate a football game wearing a blindfold.

Comunque, com'è ovvio, c'è chi è riuscito ad approffittare del quasi-collasso del 6 maggio: 

By luck, savvy, lightning speed or all three, there was money — gobs of it — to be made from the bargains that came and went in an instant.(...)
“Somebody got Accenture at a penny. They’re ready to announce their retirement,” joked Daniel Seiver, a finance professor at San Diego State University.
For at least some of the winners, however, retirement may have to wait. On Friday, several large United States exchanges said that although their trading platforms functioned properly on Thursday, they were nonetheless canceling many trades made during the market’s Big Bounce.
Those cancellations applied only to company stocks that were affected directly by apparent malfunctions in computer systems that feed trades into the exchanges. Bets made on the periphery of the financial universe will stand.
Investors who owned gold or United States Treasuries, for example, saw big gains as global investors sought havens.
But even those gains were small compared with those won by options traders who had placed bets on an index that rises in value when volatility increases in American equity markets. “The guys who probably made the most money in this were options players,” said Larry Tabb, chief executive of the Tabb Group, a financial services consulting firm.
Another group of likely winners in the eye-blink rout were investors who had placed “limit orders” on certain stocks. These are orders to buy shares at a fixed price that is often well below where the stock is currently trading. As the selling accelerated Thursday in the computer-driven frenzy, those orders were filled at prices that might have once seemed implausible.
“There are a whole other group of folks who play this game,” Mr. Tabb said. “They put low limit orders into the market for this exact purpose — for when the markets go into free fall.”
Hedge funds, high-frequency traders and even individuals with an online trading account who had existing low limit orders in place could have snapped up bargains as the bottom fell out of the markets.
Unfortunately for those investors, the exchanges have rules in place to cancel or rescind any trades that are associated with erroneous or unusual trading activity.
“If there is an order that gets printed and it is so far away from the market that it was clearly wrong, the exchanges have the right to break it and, in fact, they do it fairly often,” Mr. Tabb said. “It just doesn’t happen with this magnitude.”
On Friday, the Nasdaq market said it would cancel all trades that had occurred in the 20-minute period between 2:40 p.m. and 3 p.m. on Thursday that were 60 percent higher or lower than the last trade at 2:40. “This decision,” the exchange noted on its Web site, “cannot be appealed.” 

Qui trovate un articolo dedicato alle transazioni cancellate e qui la lista delle azioni di cui sono state cancellate le transazioni.

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