Posts Tagged ‘Trading

15
Nov
11

Fun & Finance Capítulo 17 Charla sobre Commodities

Debido a las restricciones impuesta sobre el mercado cambiario, sacamos a relucir nuestros dotes actorales por cualquier eventual cambio de profesión. Como dos experimentados actores Ivan y Juan Manuel, le explican a Gaston que es el mercado de Commodities (desde la macro hasta el mercado).

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30
Oct
11

Finanzas 101: FAQ, Short Selling + CDS

En el sitio de la Unión Europea, hay un accesible FAQ sobre la regulación sobre Short Selling y Credit Default Swaps.

¿Sesgos + momentum?, maybe.

Personalmente me quedo con la tabla comparativa -cerca del final- entre la regulacion del Short Selling en USA, EU y Hong Kong.

 

22
Oct
11

Grafico du Jour: Tenencia china de deuda US

(Fuente: Global Macro Monitor, via Creditwritedowns.com)

18
Oct
11

Paper: Anomalías y su impacto en el riesgo sistémico

The race to zero

1.  Introduction

Stock prices can go down as well as up.  Never in financial history has this adage been more apt than on 6 May 2010.  Then, the so-called “Flash Crash” sent shocks waves through global equity markets.  The Dow Jones experienced its largest ever intraday point fall, losing $1 trillion of market value in the space of half an hour.  History is full of such fat-tailed falls in stocks.  Was this just another to add to the list, perhaps compressed into a smaller time window?

No.  This one was different.  For a time, equity prices of some of the world’s biggest companies were in freefall.  They appeared to be in a race to zero.  Peak to trough, Accenture shares fell by over 99%, from $40 to $0.01.  At precisely the same time, shares in Sotheby’s rose three thousand-fold, from $34 to $99,999.99.  These tails were not just fatter and faster.  They wagged up as well as down.

The Flash Crash left market participants, regulators and academics agog.  More than one year on, they remain agog.  There has been no shortage of potential explanations.  These are as varied as they are many:  from fat fingers to fat tails; from block trades to blocked lines; from high-speed traders to low-level abuse.  From this mixed bag, only one clear explanation emerges:  that there is no clear explanation.  To a first approximation, we remain unsure quite what caused the Flash Crash or whether it could recur.

That conclusion sits uneasily on the shoulders.  Asset markets rely on accurate pricing of risk.  And financial regulation relies on an accurate reading of markets.  Whether trading assets or regulating exchanges, ignorance is rarely bliss.  It is this uncertainty, rather than the Flash Crash itself, which makes this an issue of potential systemic importance.

 In many respects, this uncertainty should come as no surprise.  Driven by a potent cocktail of technology and regulation, trading in financial markets has evolved dramatically during the course of this century.  Platforms for trading equities have proliferated and fragmented.  And the speed limit for trading has gone through the roof.  Technologists now believe the sky is the limit.

This rapidly-changing topology of trading raises some big questions for risk management.  There are good reasons, theoretically and empirically, to believe that while this evolution in trading may have brought benefits such as a reduction in transaction costs, it may also have increased abnormalities in the distribution of risk and return in the financial system.  Such abnormalities hallmarked the Flash Crash.  This paper considers some of the evidence on these abnormalities and their impact on systemic risk.

Regulation has thin-sliced trading.  And technology has thin-sliced time.  Among traders, as among stocks on 6 May, there is a race to zero.  Yet it is unclear that this race will have a winner.  If it raises systemic risk, it is possible capital markets could be the loser.  To avoid that, a redesign of mechanisms for securing capital  market stability may be needed.

Link al Paper

17
Oct
11

Tabla du Jour: Sin palabras…

(Fuente: Bespoke Investment Group)

15
Oct
11

Humor du Jour: End Market Correlation!

 (Fuente: Infectious Greed)

13
Oct
11

Fun & Finance: #15, Charla sobre la Tasa Libre de Riesgo

En este episodio, Manuel le explica a Gaston que es la Tasa Libre de Riesgo y -de forma introductoria- que rol juega en los modelos de pricing de activos.

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