Dai neutrini ai flash crash

Il New York Times dedica oggi un articolo a Gregg E. Berman, il funzionario della S.E.C. che dirige la commissione di inchiesta sulle cause del flash crash del 6 maggio scorso. Abbandonati gli studi in fisica subnucleare, dopo una carriera a Wall Street che lo ha visto lavorare in hedge funds - compresi quelli specializzati in trading ad alta frequenza - ed essere impiegato nello sviluppo di piattaforme tecnologiche per il risk management, il Sig. Berman è impiegato alla S.E.C. da circa un anno.

Il rapporto della commissione da lui diretta, che prevede anche la collaborazione di rappresentanti della Commodity Futures Trading Commission, sarà reso noto entro due settimane.
Le aspettative, leggendo tra le righe dell'articolo del Times, sono molto alte, e la curiosità di Alfaobeta è stata stuzzicata al massimo. Ecco qui qualche anticipazione:



Mr. Berman, 44, will not say exactly what will be in the report, but he says that it will not simply restate what regulators have already said — that markets were volatile because of worries over the debt crisis in Europe, causing some computerized trading programs to stop trading, and finally causing computers on other exchanges to misread the pullback as a rapid bidding down of stock prices.
Instead, he says, the report will zero in on a specific sequence of events that preceded the crash. He says it will tell a clear story about what happened in the markets on that stomach-churning day, beyond simply pointing a finger at the perils of the kind of high-speed computer trading that dominates today’s markets.
“The report will clearly demonstrate how market conditions and events prior to the flash crash led to the extreme price moves,” he said.
When pressed, he added, notably, that he had found no evidence of a deliberate attempt by anybody to disrupt markets. (...)
Mr. Berman acknowledges that his team’s explanation will involve a number of things happening at once. It may strike many people as painfully complex, but that is an undeniable result of the byzantine nature of today’s disparate electronic markets and the many players who take part in them.
The report’s conclusions will involve “market participants doing very different things and for very, very different reasons,” he said.
Central to all of this is the fact that stock trading is no longer centralized but instead takes place on dozens of exchanges, all with varying policies and procedures. For example, the New York Stock Exchange has circuit breakers that prevent stocks from rising or falling so quickly that they disrupt the broader market.
Trading was slowed on several listings on that exchange on May 6, while other markets kept trading lower. That lack of coordination created confusion during the flash crash. Since then, the S.E.C. has extended circuit breakers for individual stocks across all markets. 

A questo punto è lecito porsi la domanda: ma al di là dei presupposti ideologici, qualcuno è in grado di dimostrare come la proliferazione dei mercati elettronici sui quali è possibile scambiare uno stesso titolo abbia effettivamente aumentato la liquidità e l'efficienza dei mercati? Che per qualche agente questa parcellizzazione del mercato sia stata profittevole non c'è dubbio, mi sembra meno chiaro che i vantaggi siano condivisibili da parte di tutti.

Domande simili sull'utilità del trading ad altissima frequenza sono dibattute con un certa frequenza dai più autorevoli commentatori sui principali quotidiani finanziari che si interrogano sempre più frequentemente sull'utilità di certi sviluppi tecnologici dei mercati.


Ancora sull'inchiesta della S.E.C.:

The investigation has had two prongs. One strategy has been to collect all kinds of market data from May 6 and analyze it for patterns.(...)
The second line of investigation has involved “many dozens” of interviews with people involved in the markets on May 6, including market makers, the exchanges, high-frequency traders, banks and fund managers, to ask what they did on May 6 and why.
More than one interviewee was surprised to find Mr. Berman and 10 more S.E.C. officials on one conference call to discuss the crash — their number was a sign of how badly the commission, after a few difficult years, wants to get this investigation right.
“Many market participants told us, ‘We’re not quite sure what happened over all, but this is what my firm saw and the actions we took,’ ” Mr. Berman said. “It was like ‘C.S.I.’ We wanted to interview everyone around.”
Mr. Berman said the level of detail gleaned from his investigation will help provide the explanation for what occurred on May 6, even if it may not delivery the simple answer that many people would like.
“This level of fact proved to be very, very telling,” he said. “We started to build up a complete picture.”