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.

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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.


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