giovedì 14 ottobre 2010

Gli avvoltoi dei mercati hanno i giorni contati? L'opinione di Engle e Lo sul flash crash

L'Economist dedica un breve articolo al rapporto della commissione della SEC-CFTC sul flash crash del 6 maggio scorso. L'impressione condivisa è che il rapporto sia davvero deludente sul fronte delle proposte per la prevenzione dell'instabilità dei mercati, bene esposta nell'analisi degli avvenimenti:

Those hoping that the report would outline steps to avert a similar crash were disappointed. The report is like “the black-box recording devices you recover from aviation disasters,” says Michael Kearns of the University of Pennsylvania. “It’s entirely descriptive. It doesn’t say how to fix anything.” The SEC has already put in place some new policies, such as “circuit-breakers” which temporarily suspend trading if a price moves by more than 10% in five minutes. But critics say still more needs to be done. 

Tra le opinioni più autorevoli sull'argomento l'Economist riporta quelle del premio Nobel Robert Engle e del grandissimo Andrew Lo: forse gli ordini stub, ordini avvoltoio a prezzi irrealistici che aspettano le crisi di liquidità dei mercati per essere soddisfatti, hanno finalmente i giorni contati

An advisory committee on regulatory issues has been asked by the SEC and CFTC to submit recommendations later this month on how to modernise market structure and trading rules. Robert Engle of New York University’s Stern School of Business, a member of the committee, wants to use “peak-load pricing”, which would reward trading firms for staying in the market during periods of high volatility. Others worried about the hyperactivity of high-frequency traders have suggested charging them for each trade they break, although that would not necessarily improve liquidity and is an idea that is unlikely to be pursued.
Stub quotes are likely to be eliminated. This could help address “90% of the issues we saw on May 6th”, says Andrew Lo of the Massachusetts Institute of Technology. The SEC is also considering rules that would prevent trades from occurring unless they fell within a certain range based on the security’s current price. These “limit-up/limit-down” trading parameters would help avert dramatic swings in prices, just as circuit-breakers do, but without causing trading to seize up. And regulators would be wise to do more research into the market for exchange-traded funds, which showed itself to be particularly vulnerable to price swings on May 6th.
The flash-crash report provides some vindication for high-frequency trading firms, which had been widely blamed for the mayhem that day. It is true that many of them fled the market when prices plummeted but as the report points out, so did other traders. That may not save them from stricter rules. American supervisors could still act to curb their speed; Britain’s Treasury recently commissioned a study on the effect of high-frequency traders on markets. Fast as they are, they may not be able to outpace regulators.

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