Thursday March 6 2010, most American equity market indices (S&P500, DOW, NASDAQ) experienced exponential decay, when the price curve started to tend to bankruptcy. The market miraculously recovered at some point, closing only 3.5% down on the day, up from the floor of 10% down - making this one of the single biggest intra-day movement in history ?
Subsequent justifications blame algorithmic trading agents, but the decay curve is smooth, and if you look at the market decay in the leading couple of days, it is clear that this is the climax of a process, not just an on the day event.
The VIX tells a clear story of a period of time, not a single mistake transaction involving mistenly bumping up your order size 3 orders of magnitude.
CNBC shows footage of violent riots in Greece in the period immediately preceding and during the event climax
Asian markets open sharply down, with the Bank of Japan offering additional overnight facilities denominated in, of course, yen - Y2000bn (USD21.6bn), with 75% of this being taken up. This is to cater to the increased demand for Yen that has resulted from the net selling of Euros.
CNBC talking head
max keyser
http://maxkeiser.com/
CNN Money
Business Week
Yahoo
CNBC starts with sentiment damage control
My god, was it a glitch, CYB3R-T3RRORISM, or simply an algo-accelerated rational exit from an overbought point
[Rishi Narang - Inside the Black Box - founder of the hedge fund Telesis Capital]
CNN Money - The Day's Trading in Review
CNBC - Jim Roger's 2 Cents
CNBC - Certain Trades to be Reversed
NYTimes - The Biggest Drops in US Market History
Spreads on US Corporate Paper Increase
Michael A. Yoshikami
High Frequency Trading on the NYSE
CNN Blogs - Markets Turn Wild and Wooly
CNBC - High-Speed Trading Glitch Costs Investors Billions
The Economist - So, About That Crash...
A couple of explanations for the fear of May 6
http://www.reuters.com/article/idUSTRE6471D820100508?loomia_ow=t0:s0:a49:g43:r3:c0.072503:b33799284:z0
Reuters - Global Markets Week Ahead - Greek Crisis Goes Viral
NYT - The Next Day - An Official Explanation Becomes More Candid
Turngin to cosider the role of algo-traders in this event
Thursday’s Talk of New Rules to Prevent Future Stock Free Falls
Should you believe a Cretan who tells you he's lying?
The Monday After
NY-Times REPORT on MONDAY's MARKET RESPONSE
OUT OF PLACE
Dollar Libor Holds Near Nine-Month High After EU Loan Package
>Unsurpisingly, the SEC finds no simple single cause, but is still calling the event market failure instead of a fast-pace market correction.
SEC chairman Mary Schapiro told a Congressional hearing that the markets had "failed" many investors. ... "The sudden evaporation of meaningful prices for many major exchange-listed stocks in the middle of a trading day is unacceptable and clearly contrary to the vital policy objective of maintaining fair and orderly financial markets," Mrs Schapiro said."
This is total bullshit. The market is totally overbought while the global system is under massive pressure. A sell-off was inevitable, its just that the new dominance of algo traders means that a sell-off can now be nastier and more sudden than ever before. What the SEC is saying is that they will manipulate the market until it functions they want it to.
Market Inquiry Focuses on One Trader
Did a Big Bet Help Trigger 'Black Swan' Stock Swoon? - It was actually Taleb's cynicism
Regulators decide that plunge wasn't actually cyber-terrorism after all, whew!
Commentary: Market Madness
-- SHOULD ADD SECTION AT THE END TO SHOW HOW 1987 CRASH ALSO CLIMAXED IN 3 MINS OF TRADING
http://www.marketwatch.com/story/sec-looks-to-avoid-future-flash-crash-2010-11-08
------------------
Program short sales by Waddell & Reed were deemed to have been the cause of the crash by a congression inquiry.
ZeroHedge:
SEC Releases Final Flash Crash Report - Waddell And Reed Blamed As Selling Catalyst
Huffington Post:
'Flash Crash' Report: Waddell & Reed's $4.1 Billion Trade Blamed For Market Plunge
Reuters:
Single trade helped spark May's flash crash
Showing posts with label event. Show all posts
Showing posts with label event. Show all posts
Friday, May 7, 2010
Tuesday, November 17, 2009
NY Fed & AIG Bail-Out
The NY Times features an interesting piece by Mary Williams Walsh, writing on a report from the office of the Special Inspector General for the Troubled Asset Relief Program (SIGTARP) on the AIG bail-out:
The Federal Reserve Bank of New York gave up much of its power in high-pressure negotiations with the American International Group’s trading partners last year, according to a government report made public on Monday.
...
The Fed “refused to use its considerable leverage,” Neil M. Barofsky, the special inspector general for the Troubled Asset Relief Program, wrote in a report to be officially released on Tuesday, examining the much-criticized decision to make A.I.G.’s trading partners whole when people and businesses were taking painful losses in the financial markets.
There have been suggestions that the Fed chose to negotiate weakly, Mr. Barofsky said, to give a “backdoor bailout” to A.I.G.’s banks. He said Mr. Geithner and the Fed’s lawyers had denied this, but added that “irrespective of their stated intent,” there was no doubt about the result: “Tens of billions of dollars of government money was funneled inexorably and directly to A.I.G.’s counterparties.”
The Federal Reserve Bank of New York gave up much of its power in high-pressure negotiations with the American International Group’s trading partners last year, according to a government report made public on Monday.
...
The Fed “refused to use its considerable leverage,” Neil M. Barofsky, the special inspector general for the Troubled Asset Relief Program, wrote in a report to be officially released on Tuesday, examining the much-criticized decision to make A.I.G.’s trading partners whole when people and businesses were taking painful losses in the financial markets.
There have been suggestions that the Fed chose to negotiate weakly, Mr. Barofsky said, to give a “backdoor bailout” to A.I.G.’s banks. He said Mr. Geithner and the Fed’s lawyers had denied this, but added that “irrespective of their stated intent,” there was no doubt about the result: “Tens of billions of dollars of government money was funneled inexorably and directly to A.I.G.’s counterparties.”
Monday, September 21, 2009
4 Financials Constitute Majority of NYSE August Volume
Bank of America
CitiGroup
Freddie Mac
Fannie Mae
Daily Finance
Yahoo Finance
Ryan Vlastelica - Tue Aug 25 2009 - Reuters:
Citigroup (C.N), Bank of America (BAC.N), Freddie Mac FRE.N and Fannie Mae FNM.N have dominated trading recently as each has more than doubled in price from 2009 lows.
On Monday and on Tuesday morning, the four accounted for more than 40 percent of composite volume on the NYSE. Some attributed this to bets on hoped-for economic improvement and ongoing government support, but others said the volume was due to speculation in popular names with low share prices.
CitiGroup
Freddie Mac
Fannie Mae
Daily Finance
Yahoo Finance
Ryan Vlastelica - Tue Aug 25 2009 - Reuters:
Citigroup (C.N), Bank of America (BAC.N), Freddie Mac FRE.N and Fannie Mae FNM.N have dominated trading recently as each has more than doubled in price from 2009 lows.
On Monday and on Tuesday morning, the four accounted for more than 40 percent of composite volume on the NYSE. Some attributed this to bets on hoped-for economic improvement and ongoing government support, but others said the volume was due to speculation in popular names with low share prices.
Wednesday, September 16, 2009
alleged gold market manipulation by goldman-sachs
SEEKING ALPHA
"There is no other leveraged commodity market where short sellers increase their positions, materially, as the price rises, and increase them even more when prices are exploding, except gold and silver. The reason traders don’t normally do that is that it exposes short sellers to unlimited liability and risk. Yet, in both March and July 2008, and on countless occasions over the past 21 years, vast numbers of new gold and silver short positions were temporarily opened up, with the position holders seemingly unconcerned about the fact that precious metals had just risen exponentially, and that there was a very real potential they would bankrupt themselves with unlimited upside potential. Normal traders would not expose themselves to such unlimited risks.
I conclude, therefore, that over the last 21 years or so, “fake” precious metals supply in the form of promises of future delivery have habitually been increased when prices increase until increased “supply” managed to overwhelm increased demand, leading to a temporary price collapse. This is compounded by the fact that the futures prices on COMEX tend to dictate the “official” report price for the precious metals elsewhere."
article
---
Interestingly, gold's recent breaking through of the USD 1000 mark is followed by an announcement by the IMF that it plans to sell gold equal to 1/8 of it's total reserves.
IOL Article 2009-09-21
"There is no other leveraged commodity market where short sellers increase their positions, materially, as the price rises, and increase them even more when prices are exploding, except gold and silver. The reason traders don’t normally do that is that it exposes short sellers to unlimited liability and risk. Yet, in both March and July 2008, and on countless occasions over the past 21 years, vast numbers of new gold and silver short positions were temporarily opened up, with the position holders seemingly unconcerned about the fact that precious metals had just risen exponentially, and that there was a very real potential they would bankrupt themselves with unlimited upside potential. Normal traders would not expose themselves to such unlimited risks.
I conclude, therefore, that over the last 21 years or so, “fake” precious metals supply in the form of promises of future delivery have habitually been increased when prices increase until increased “supply” managed to overwhelm increased demand, leading to a temporary price collapse. This is compounded by the fact that the futures prices on COMEX tend to dictate the “official” report price for the precious metals elsewhere."
article
---
Interestingly, gold's recent breaking through of the USD 1000 mark is followed by an announcement by the IMF that it plans to sell gold equal to 1/8 of it's total reserves.
IOL Article 2009-09-21
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