Posts Tagged ‘crash

21
Jun
11

Video: Bitcoin, Crash en tiempo real

(Fuente: Marginal Revolution)

08
Feb
11

Paper: Correlación en tiempos de crisis

Correlation of financial markets in times of crisis

Abstract

Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investigate several financial market crises that occurred in the years 1987 (Black Monday), 1989 (Russian crisis), 2001 (Burst of the dot-com bubble and September 11), and 2008 (Subprime Mortgage Crisis), which mark some of the largest downturns of financial markets in the last three decades.

Link al Paper

19
May
10

Regulación Financiera, dark pools y flash trading

Vox tiene un post sobre un tema donde la libre y la tortuga no condicen con su Fabula.

(…)

According to the Securities and Exchange Commission, the number of active dark pools dealing in stocks on major US stock markets trebled to 29 in 2009 from about 10 in 2002. For April to June 2009, the total dark pools volume was about 7.2% of the total volumes of all US exchanges.

(…)

Dark pools are a private or alternative trading system that allows participants to transact without displaying quotes publicly. Orders are anonymously matched and not reported to any entity, even the regulators (Younglai and Spicer 2009). Thus, the mainstream exchange-traded market does not have any clue about the volume of transactions happening in this parallel market or the prices at which they are being executed. Obviously, price discovery on the mainstream market, without dark pools information, becomes inefficient.

(…)

But what is unacceptable is the practice of allowing a privileged minority to flash trade to track the reaction with high-speed processing capacity and the algorithm that can take advantage of the reaction to reap benefits – as this is akin to front-running. It is an example of high-frequency trading system with knowledge of asymmetric information that confuses common investors by simultaneously issuing and cancelling orders and entices them to shell out more for a particular security and, thus, squeezes out their profits.

It was the Chicago Board Options Exchange which pioneered flash orders early this decade to increase its execution speed (Patterson et al. 2009). Flash orders remained in the dark until a newspaper report in 2009 blew the whistle on how Goldman Sachs had made a killing through this route. According to Rosenblatt, flash trading accounted for about 2.4% of the total US stock volumes in June 2009.

(…)

Por ultimo, una de las fuentes de este articulo es un trabajo de PWCDark Pools of liquidity

16
May
10

ETFs y HFT

Matt Hougan tiene un post donde agrupa distintas explicaciones del rol que tuvieron el ETFs en el crash de hace dos jueves atrás. Dejando en claro de que su protagonismo se debe a cuestiones de estrategias y no debido a fallas en los diversos productos.

(…)

The most popular explanation I’ve heard is that ETFs are exposed to mistaken prices in underlying stocks. Computers are constantly monitoring the share price of ETFs and comparing those to the fair value of their underlying components. When prices get out of whack, computers will arbitrage the difference away, selling an ETF and buying its underlying securities, or vice versa.

(…)

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UPDATE:

Nota sobre el Crash del 6 de mayo

UPDATE -II:

Rajiv Sethi tiene una postura interesante sobre lo sucedido.

07
May
10

Mr. Roboto, machine or mannequin

Ayer hubo Crash en el Dow, al principio el mundo blog hablo de ordenes abultadas debido a “dedos gordos”

Here’s what I am hearing. There was a “fat finger” that caused someone to execute a large order for PG, a Dow component at a price in the high 30s when it was trading above 60.  Another word out is that someone entered a $16 BILLION trade instead of a $16 million trade – talk about fat fingers. This triggered a lot of stop loss orders in Dow Futures and caused a cascade of losses that at one point reached more than 1000 points on the Dow.

Creditwritedowns.com

Pero hoy, la responsabilidad del hecho se la adjudican a Mr. Roboto y co.

Here’s the COO of NYSE Euronext speaking to Bloomberg:

May 6 (Bloomberg) — Computerized trades sent to electronic networks turned an orderly stock market decline into a rout, according to Larry Leibowitz, the chief operating officer of NYSE Euronext. Nasdaq OMX Group Inc. canceled trades in 286 securities that rose or fell 60 percent or more.

While the first half of the Dow Jones Industrial Average’s 998.5-point intraday plunge probably reflected normal trading, the selloff snowballed because of orders sent to venues with no investors willing to match them, Leibowitz said in an interview on Bloomberg Television.

“If you look at the charts you can see fairly clearly where the trades came in,” he said from New York. “It’s that V-shaped drop where it came down and snapped right back up. You had some very high-cap stocks trading down 50 percent or large percentages in a split-instant because there really was no liquidity in electronic markets.”

FT Alphaville

Quien mejor para pegarle a los bots que Zero Hedge (Audio Incluido)

“Guys this is probably the craziest I have seen it down here ever.” Here it is, memorialized for the generations and away from the now openly ridiculous disinformation propaganda of the mainstream media, just what a full market meltdown panic sounds like: straight from the epicenter, the S&P 500 pits. Luckily open ouctry still exists, if at least for shock value. Click here for a first hand account of the most shocking 15 minutes in recent market history. Fat finger my ass.

Por ultimo, FT Alphaville postea: una declaración de NASDAQ desligándose de lo ocurrido; y una lista con las acciones afectadas.

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UPDATE:

Kid Dynamite tiene 3 post que vale la pena leer:

holy cow wtf stocks heres what im hearing

more on crash possible trigger and high frequency trading

does anyone want to defend decision to cancel trades




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