mercoledì 12 maggio 2010

La croce sul mark-to-market. Come ti creo un cigno nero. Gli USA rallenteranno ma l'Europa rientrerà in recessione

Continua il dibattito sul mark to market e la necessità (o meno) di rivederne il funzionamento per evitare
l'aggravarsi delle crisi finanziarie: qui trovate un articolo su Forbes che discute una proposta in discussione al Senato USA.
Sempre sul fronte della regolamentazione secondo un articolo pubblicato ieri sul New York Times
la Securities and Exchange Commission imporrà l'adozione di misure uniformi di circuit breaking per impedire
il ripetersi di un crash come quello sperimentato giovedì scorso. Secondo il NYTimes

Officials from the Securities and Exchange Commission and the major stock exchanges agreed on Monday to immediately revise marketwide circuit breakers that temporarily halt stock trading in the event of a major decline, and to draft similar measures for individual stocks that will be applied uniformly across markets.
In a statement issued after their meeting, the S.E.C. said, “As a first step, the parties agreed on a structural framework, to be refined over the next day, for strengthening circuit breakers and handling erroneous trades.”
Neither the S.E.C. nor the Commodity Futures Trading Commission, which oversees trading in stock index futures and other derivatives, revealed any further information about their investigations into Thursday’s decline, in which the Dow Jones industrial average fell some 600 points in a few minutes.
(...) Nearly all of the exchange officials agreed that the differing rules among the various stock markets about temporarily halting or slowing trading in individual stocks worsened the decline on Thursday (...) The exchanges were directed to work together to come up with parameters for the new circuit breakers by sometime Tuesday, officials said. In particular, the group is seeking to simplify the marketwide circuit breakers that currently halt trading based on what time of day a decline occurs.
The exchanges participating in the meetings included the New York and Nasdaq exchanges, Bats Global Markets, Direct Edge, the International Securities Exchange and the Chicago Board Options Exchange. The CME Group and the Intercontinental Exchange, which trade futures contracts, also met with Mr. Gensler and later with Mr. Geithner.
Currently, trading in stocks, options and stock index futures contracts is halted for one hour if the Dow falls by 10 percent before 2 p.m. Eastern, or for 30 minutes if it falls that much from 2 to 2:30 p.m. After 2:30, there is no halt unless the market falls by 20 percent, in which case it closes for the rest of the day.
In addition, if the Dow falls by 20 percent before 1 p.m., trading is halted for two hours, or one hour if the 20 percent decline occurs between 1 and 2 p.m. After 2 p.m., a 20 percent decline closes the market for the rest of the day. And if the Dow falls by 30 percent, all trading is halted for the remainder of the day. Trading normally ends at 4 p.m.
“We want to have easier-to-understand circuit breakers,” said one participant in Monday’s meetings.
The exchanges also will try to formulate a uniform method of temporarily halting trading in an individual stock if it declines more than a certain percentage during the trading day. Currently, the New York Stock Exchange has such rules; its use of those rules on Thursday forced some trading to migrate to alternative, less liquid markets, a situation that regulators say they believe worsened the sharp decline.
Participants in the meeting on Monday also agreed to try to come up with uniform parameters for deciding when trades are deemed to be “clearly erroneous” and subject to cancellation. Trades in hundreds of stocks were canceled after Thursday, when some stock prices fell to as low as a penny.
Some of the exchanges decided to cancel trades made on Thursday in which a stock’s price fell by more than 60 percent in a short period. Regulators told the exchanges on Monday that they should come up with a uniform standard that investors would know could be applied before the trades were made.

Continua intanto la caccia al "colpevole" del minicrash del 6 maggio: il Wall Street Journal punta l'indice contro un ordine immesso pochi minuti prima del crash dall'hedge fund Universa, che specula sui "cigni neri" seguendo la lezione di Nassim Taleb (che tra l'altro è uno dei consulenti del fondo). Secondo il WSJ:

The trade wasn't out of character for Universa, which has about $6 billion under management. Mr. Taleb, who is an adviser to the firm and an investor, gained fame for "The Black Swan," a book that suggested unlikely events in the financial markets are far more likely than most investors believe.
Universa frequently purchases options contracts that will pay off if the market makes a sharp move lower. It posted big gains in the market selloff of late 2008 and launched a fund last year designed to benefit if inflation surges.
Through the trading desks at Barclays, Universa bought 50,000 options contracts, according to people familiar with the matter. The contracts would pay off about $4 billion should Standard & Poor's 500-stock index fall to 800 in June. It was at 1145 at the time of the trade.
Back in Chicago, the big trade appeared to have had an immediate ripple in the markets. The traders on the other side of the Universa trade were essentially betting stocks wouldn't post big losses. But to minimize the risk of losing money, they in turn needed to sell, according to traders. The more the market fell, the more the traders at places like Barclays had to sell to protect their own positions. This, along with likely dozens of other trades across the market, led to a cascade of selling in the futures markets.
As the trading volume soared, data systems across the stock market began to get clogged. At Barclays Capital, a market data feed that delivers data on "buy" and "sell" orders went down, although a backup system immediately went online without any impact to the firm.
As the turmoil unfolded, every second saw some 300,000 pieces of stock information—stock prices moves, trades—pour into Barclays's system. A normal peak is some 60,000 ticks a second, says Barclays Capital's head of electronictrading sales, Brian Fagen, who was monitoring the chaos in the market on his screens.
Large hedge funds were juggling huge positions as volume spiked. Two Sigma Investments LLC, a New York hedge-fund manager that engages in complex trading strategies, saw its highest-volume day since launching in 2001, according to a person familiar with the matter.
By 2:37 p.m., the overload seemed to have taken its toll on the NYSE's Arca electronic-trading system. At that point, its rival, the Nasdaq, owned by NASDAQ OMX Group Inc., detected what it felt was questionable information in the data. It sent out a message saying it would no longer route quotes to Arca.
This step—known as declaring "self-help"—doesn't happen often among the major exchanges. But in the coming minutes, the BATS exchange also stopped automatically routing orders to Arca. For a crucial set of players—high-frequency-trading hedge funds—all this turmoil was becoming too risky to handle. One fear that would prove all too real was that in the extreme swings, some trades would later be canceled, leaving them with unwanted positions.
Manoj Narang, whose Tradeworx Inc. firm runs a high-frequency trading operation in Red Bank, N.J., began to worry the extreme volatility could lead to painful losses in his fund.
At about 2:40, he and a small team of traders scrambled to close the positions held by the high-speed fund, which trades rapidly between stock indexes and the individual stocks in the index. Normally, it takes about a fraction of a second to unwind the trades because of the high-powered computers Mr. Narang uses. But as the market plunged, it took about two minutes—an eternity in today's computer-driven market. Tradebot Systems Inc, a large high-frequency firm based in Kansas City, Mo., was also seeing chaotic action in many of the securities it traded and decided to pull back from the market.
With the high-frequency funds either selling or pulling out of the market, Wall Street brokerage firms pulling back and the NYSE stock exchange temporarily halting trading on some stocks, offers to buy stocks vanished from underneath the market. Normally there can be hundreds of offers to buy the iShares Russell 1000 Growth Index exchangetraded fund, but at 2:46 p.m., there were just four bids north of $14 for a fund that had been trading at $51 minutes earlier, according to data reviewed by The Wall Street Journal.
Around 3 p.m., the selling pressure abated. Just as swiftly as the market fell, it recovered ground. One factor behind the swift recovery, traders say, were funds that use computers and formulas to sniff out bargains in the market. These funds swooped in on hundreds of cheap stocks, helping push the market higher.

 Secondo Nouriel Roubini nella seconda metà del 2010 l'economia USA rallenterà mentre probabilmente l'Europa ripiomberà in una recessione:

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