venerdì 13 agosto 2010

Tre letture consigliate dall'Economist e un video su come evitare un nuovo flash crash

Vi segnalo tre approfondimenti interessanti sull'Economist appena uscito: il primo sul dollaro e le sue prospettive di medio termine. Il secondo è dedicato all'economia mondiale e ai rischi di una ricaduta in recessione. Secondo l'Economist Concern about America’s stumbling recovery has been rising, just as anxieties about the euro area’s economy have faded. The dollar is the weakling among rich-world currencies (see article). But Americans should take a little heart: it is too soon to despair about their economy. And Europeans should show a little caution: it is too soon to be sure that theirs is firmly back on its feet. (...)both Europe and America seem to be suffering from delusions—of strength and weakness respectively. In Europe it is far too early to celebrate recovery on at least two counts. First, Germany apart, the euro area remains weak. Spain, whose economy is barely growing and where the jobless rate is 20%, would love to have America’s problems. Second, Germany relies on exports, not spending at home: the home market is one of the few places where sales of Mercedes cars have fallen this year. So its economic fortunes remain closely tied to the rest of the world—including one of its biggest markets, America.
How real are the risks of a double dip in the United States? The recovery has lost momentum in part because shops and warehouses are fuller, so that the initial boost to demand from restocking is fading. The housing bust still casts a shadow. Households must save to work off excess debts. Firms fearful of weak consumer spending are cautious about investing. Bank credit is scarce. All this stands in the way of a full-blooded recovery. But a slide into a second recession would require firms to cut back again on stocks, capital spending and jobs. The cash buffer corporate America has built up in case of harder times makes a fresh shock of that kind unlikely.(...)
Anxiety about deflation remains justified: any sign of it would require much bolder measures from the central bank. However, for the moment the Fed has sent the right signal: concern but not panic. Apart from anything else, it is not clear that yet more monetary stimulus would have created many new jobs. The relatively high level of job vacancies in America seems consistent with far lower unemployment. Some firms have complained that the available workers do not have the skills that they want. Unemployment, sadly, may thus have deep roots, with more people this time remaining out of work for longer. It will be a hard slog. But on the current evidence don’t expect America’s recovery to grind to a halt. 
Se volete approfondire l'analisi delle prospettive di medio-lungo termine dell'economia tedesca e più in generale delle economie del nord Europa vi raccomando la lettura di questo articolo di GaveKal dal quale ho tratto il grafico che ho riprodotto qui accanto e  che vi consiglio di leggere. Le conclusioni sono un po' diverse da quelle su cui si basa l'editorialista dell'Economst nelle sue considerazioni.

Infine vi segnalo questo articolo dedicato al trading ad alta frequenza, nel quale si scopre che il tempo di esecuzione di un ordine al Nasdaq (177 microsecondi!) è 100 volte più breve di quello necessario a Singapore e 20 volte più breve di quello necessario a Londra. Mentre sul mercato U.S.A. crescono le perplessità sull'opportunità di questa incredibile accelerazione dei mercati high-speed traders are getting a warm welcome in emerging markets. When BM&FBovespa, Brazil’s main exchange, offered firms “co-location” slots to place their trading machines in the exchange’s data centre in February (giving them an additional edge on speed), they quickly sold out. The exchange plans to double the number of slots to meet demand. On Singapore’s exchange, the share of derivatives trades accounted for by HFT has risen from 10% to 30% in two years. (...)
For the traders themselves, expansion abroad makes sense. HFT uses automated strategies to capitalise on inefficient pricing of financial instruments at blinding speed. As markets in America and Europe have become more competitive—HFT now makes up over 60% of equity trades in America and nearly 50% of British transactions—bid-ask spreads have narrowed and arbitrage opportunities exist for ever-briefer periods. In newer markets traders can use simpler algorithms for higher yields.

Il trading ad alta frequenza è uno dei principali imputati del flash crash del 6 maggio scorso, un argomento che abbiamo affrontato più volte in questo blog. Nel video che vi propongo qui sotto il  Chief Investment Officer di Vanguard, Gus Sauter, illustra alcune contromisure che potrebbero essere adottate per rafforzare i market circuit breakers e prevenire il ripetersi di un crash. Uno degli argomenti affrontati è proprio la rischiosità dei market orders (gli ordini al meglio), le considerazioni di Sauter mi sembrano largamente condivisibili:  I think a lot of investors don't really realize the risks of market orders. You think that a stock is selling at a certain price level, so you'll say, "Well, I am happy with that. I'll go ahead and sell it at the market or buy it at the market," and then it turns out that the liquidity really isn't there and by the time you end up buying it with your market order you've pushed the stock dramatically or the floor gets pulled out from under you and on May 6th the limit orders just weren't there. You enter a market ordering, you end up selling it to $0.01 a share. I don't think many investors realize that that risk was really there. For that reason I do like the concept of requiring everything to be a limit order. Now we would point out that you can in effect place an order that would function like a market order even by using a limit order. If you really, really want to buy a stock, let's say, you could offer to buy it or bid for it at $1,000. Well, you're going to buy it at whatever it's being offered at and which would be a reasonable price, but you're really assuring that you'll be able to buy it. So, the advantage of requiring all orders to be limit as opposed to market is that investors can still place the market order or something that functions like a market order, but they are also placing an intentional limit as opposed to one by default that could be $1,000 without realizing that it's a $1,000 on the buy side.

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