Quante farfalle nei giardini dell'HFT! La S.E.C. apre un'inchiesta sul trading ad alta frequenza

Il dibattito sulle tecniche utilizzate nel trading algoritmico ad alta frequenza (HFT) e sulla loro legittimità diventa sempre più acceso: il WSJ oggi dà la notizia di una investigazione della S.E.C. ad ampio raggio. Secondo il quotidiano

One such area under SEC scrutiny is the use of routing and trading instructions, known as order types. Many investors use relatively simple order types, such as limit orders, which specify a price at which an investor is willing to buy or sell a stock.

But exchanges also offer more sophisticated order types commonly used by rapid-fire traders that could potentially give them an edge over other investors, according to industry experts. Some allow computer-driven traders to hide orders and prevent them from routing to other exchanges, where the traders may have less control over the order execution.

One order type, called "Hide Not Slide" and offered by the exchange operator Direct Edge Holdings LLC, is among those being scrutinized by the SEC, according to people familiar with the matter. The agency is also looking at a similar order type offered by computerized stock exchange BATS Global Markets Inc., the people said.

Other exchanges also offer order types that share similar characteristics. Representatives of Direct Edge and BATS declined to comment.

The SEC is examining whether such order types unfairly allow high-speed traders to jump ahead of other investors in an exchange's "order book," or the queue of buy and sell orders that are typically ranked by price and when they were received, according to people familiar with the matter.

Another area of focus for the SEC are the rebates some traders earn from exchanges even as other investors pay fees to complete trades, say people familiar with exchange operations and the SEC probes.

The SEC stepped up its scrutiny of these high-speed trading firms and exchanges after the May 6, 2010 "flash crash," when computerized trading triggered a 9% selloff within minutes.

Some aspects of the SEC's inquiry are tied to at least one whistleblower, according to people familiar with the matter.

One of the most prominent lines of inquiry involves BATS, which last month pulled its initial public offering after halting trading due to what it described as a software glitch. On the morning BATS shares began trading, The Wall Street Journal disclosed details of the SEC's investigation into whether superfast-trading firms have exploited their links to BATS and other exchanges to gain an unfair advantage over other investors.

Il livello dello scontro è tale che il WSJ pubblica simultaneamente alle notizie (dovute) riportate nell'articolo precedente una difesa a spada tratta dell'HFT  dal titolo eloquente:

Can We Live With High-Speed Trading? The alternative is to place politics above innovation.

Dopo una difesa di BATS l'autore entra nel merito di alcune delle accuse specificatamente mosse all'HFT.  

High-speed trading exacerbates volatility. But lately volatility appears to have subsided and the high-speed traders are still around, which suggests the vast uncertainties associated with the mortgage meltdown and global debt crisis are a better explanation of yo-yoing markets in the last few years.

The latest accusation is that electronic trading corrupts the major indexes. Because so much trading takes place in off-exchange "dark pools" and matching engines, one estimate holds that only 30% of trades end up reflected in the Dow Jones industrial Average and the S&P 500 index.

But the question has to be, So what? Wasn't the gripe that high-speed trading is noise trading, conveying no real information to prices? And the very arbitrage that high-speed traders engage in keeps prices in lockstep between the visible and invisible trading venues.

In all that humans do, errors and snafus are endemic. Most innovations are of little real value in the long run, and shaving thousandths of a penny off transaction costs certainly isn't curing cancer. Against these modest expectations, electronic trading at least has disproved the idea that trading in a given stock is a natural monopoly because of the benefits of concentrating liquidity. Cheap, fast electronic trading, by arbitraging away price differences, allows us to benefit from competition among exchanges while still getting good price discovery.

Nostalgists and reactionaries, even when they have a case, need to keep in mind the cost when politicians and regulators are licensed to decide which innovations will be permitted. Powerful institutions like the New York Stock Exchange and Nasdaq have been forced to adapt. Perhaps the real miracle is that the American political system still allows a new fat cat to come along and knock down an old fat cat.

The 1987 crash was also blamed on computerized trading strategies. For the retail investor, the thing to keep in mind is that you don't have to buy or sell until you see a price you like. Market volatility, especially volatility caused by passing computer glitches, meanwhile is just spectacle. 

Alcune osservazioni sono comprensibili e forse condivisibili ma la conclusione è francamente ridicola e ignora decenni di ricerche di finanza ed economia comportamentali. Dire che il piccolo investitore può felicemente ignorare la volatilità dei mercati è una chiara ammissione di non aver fatto nemmeno uno sforzo per capire la frustrazione di quanti il 6 maggio 2010 si sono visti chiudere posizioni perchè stop orders venivano eseguiti in un momento di "yo-yoing" (costoso questo yo-yo...). 

Rispondere So what? a chi si preoccupa della mancanza di trasparenza della struttura che i mercati mobiliari 

hanno assunto sarebbe forse ammissibile (anche se personalmente non sono d'accordo) se non si continuasse nello stesso articolo a insistere sul contributo che l'HFT darebbe all'efficienza dei mercati. Efficienza questa che richiede trasparenza dei prezzi e rendicontabilità delle transazioni. Infine il punto più importante è sistematicamente eluso: è davvero desiderabile un mercato nel quale le asimmetrie tecnologico-informative siano esacerbate? Ribadisco qui le conclusioni dell'articolo che abbiamo scritto (Fabrizio Lillo ed io) sul Sole 24 Ore circa un anno fa: 

Benchè l'HFT non abbia direttamente causato il flash crash, è stato senz'altro complice del contagio e ha contribuito a generale lo stato di instabilità del mercato. Ricerche empiriche mostrano che grandi fluttuazioni di prezzo sono ben più frequenti in anni recenti. In questa situazione una perturbazione relativamente modesta può essere amplificata da feedback positivi e avere un effetto devastante su un sistema di mercati altamente interconnessi, richiamando alla memoria la metafora dell'effetto farfalla popolarizzata dalla teoria del caos deterministico. Il ruolo dell'HFT nella stabilità dei mercati non è completamente chiarito. L'industria, la comunità accademica e i regolatori dovrebbero rivolgere i loro sforzi verso la comprensione e la regolamentazione di questa importante componente dei mercati finanziari.