mercoledì 10 novembre 2010

Da un mini crash a un altro in attesa di "the big one"?

Il New York Times dedica un articolo ai mini flash crash, il susseguirsi di inspiegabili crolli del 50% o più di titoli azionari U.S.A. che si consumano in pochi minuti. Ad esempio il 27 settembre scorso il titolo di una utility U.S.A. Progress Energy PGN, una società di una certa consistenza con una capitalizzazione di borsa di oltre 13 miliardi di dollari, subì un crollo di quasi il 90% in pochi secondi. La variazione improvvisa e apparentemente inspiegabile di prezzo di PGN è una replica in miniatura del crollo del 6 maggio scorso. Secondo il NYTimes

Since the Dow Jones industrial average fell about 700 points then largely recovered on May 6, setting the financial world on edge, similar flash crashes have occurred with alarming frequency in more than a dozen individual stocks.
Citigroup, Core Molding, the Washington Post Company — all have soared, plunged, and often both, in wild, seemingly inexplicable trading. An exchange-traded fund, a popular investment that is basically an index fund that trades like stocks, has also been given the flash treatment, although that was attributed to a software error.
To some analysts, these mini flash crashes are a sign that another big one is possible, if not probable. Others say these abrupt reversals are simply the way modern, lightning-quick markets work, and that investors had better get used to it.

Questo tipo di mini-crolli sta allarmando alcuni specialisti che temono il manifestarsi di una instabilità intrinseca nella dinamica ad alta frequenza dei mercati borsistici:

“It’s like seeing cracks in a dam,” said James J. Angel, professor at the McDonough School of Business at Georgetown University. “One day, I don’t know when, there will be another earthquake.”
Andrew W. Lo, director of the Laboratory for Financial Engineering at M.I.T., said: “I am worried about the potential instability that these technologies create in market dynamics. The U.S. equity markets have become the Wild, Wild West.” 

Non sono solo gli accademici a essere preoccupati dalla struttura frammentaria della borsa americana, nella quale un titolo viene scambiato simultaneamente in oltre una dozzina di diversi mercati elettronici, e dal rischio di manipolazione da parte di traders che impiegano algoritmi ad alta frequenza con scambi azionari che avvengono su una scala temporale dell'ordine dei microsecondi.

“What we have today is a complete mess,” said Thomas Peterffy, chief executive of Interactive Brokers, one of the largest brokerage firms in the country. “Over the last 10 years, technology delivered great benefits, but in the last year or so, it is not so good. There is more room for the various games some people play.”
This month, a software update at the New York Stock Exchange’s electronic Arca exchange brought a nearly 10 percent plunge in an exchange-traded fund that tracks the Standard & Poor’s 500-stock index.
In all the mini flash crashes, trades that took place after the plunge were canceled.
Most of the mini crashes were blamed on computer malfunctions or human error. (...)
The authorities are contemplating other ways to make trading safer and are considering refining circuit breakers to stop erroneous trades from taking place.
A Securities and Exchange Commission official said the agency was closely watching the cases where individual stocks had set off circuit breakers, but had found that each case had “its own story.” The official added, “We are learning from them, and so far it is hard to extrapolate too much as to the general trends in the market.”
On Monday, the S.E.C. banned stub quotes, which were singled out for blame in the May 6 flash crash. These were place-holding price quotes, far from the market price, put up by market makers that are required to post quotes, but do not really want to buy or sell shares.
“While we continue to look at other potential obligations for market participants, this is an important step in our effort to improve the functioning of the U.S. markets and restore investor confidence following the events of May 6,” Mary L. Schapiro, the S.E.C. chairwoman, said in a statement.

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