2010年5月10日月曜日

NYSE 株価急落

NYSEで株価が急落した。
 NY株式市場では午後の取引でダウ平均が突然暴落する異常な値動きに
なった。誤発注をきっかけに株価が急落。コンピューターによる高速取引
システムが自動の売り注文を出し、連鎖的に売りが膨らんだとの観測が
出ている。

P&G 4割下落
ボストン・ビール・カンパニー $50から$1

CNBCがシティのトレーダによる誤発注と報じたが、シティは証拠は見当
たらないと発表。

米民主党の議員が、今回の株価暴落を懸念して、HFT、Flash Tradingだけ
でなく、アルゴリズム取引も規制に加えて欲しいと金融改革委員会の議長
に手紙を出したようだ。
・60日以内にSECは、
 「市場に対するアルゴリズム取引のシステム的危険性の評価手法」
 を提示すること。
・180日以内に機関(SEC、CFTC?)は、
 「コンピュータ取引での誤動作防止のためのサーキットブレーカ手法の
  規制の評価(?)」
 を報告すること。
・無秩序ではなく、公正で規則正しい市場を維持することを要求すべきか
 模索する。

アルゴリズム取引のソフトウェアの不具合を指摘しているけど、一般的に
リテールでの株式売買アルゴリズムは、傾きと仕切値を基準にしており、
自動的に誤発注を見分ける機能はなく、機関による証券売買システムは、
手動で強制的に取り消すのがせいぜいと思う。
世界的に金融規制が進み、規定時間内に規定銘柄が規定売買価格を越えた
ら、誤発注と取り決めれば可能かもしれない。しかし、ジェイコム君、
HFT、Flash Tradingのように、誤発注を利用して利益を出す人から見れば、
不公平と映る。どちらが平等なのだろうか。秩序が第一と思う。
今回の株式売買は、結果的に、空売りと同じではなかったのかな。

ジェイコム株の誤発注で、賠償請求訴訟となり、控訴審中だが、東証は
132億円を計上している。東証は、新システムに置き換えた際、誤発注への
対策として、即時に取り消しができるようにしたとのこと。


World Stocks Slide on Greece, Dow Collapse The Associated Press

---シティ、誤発注を否定 株価急落で調査結果---
2010年5月8日 00時23分
http://www.tokyo-np.co.jp/s/article/2010050701000971.html

 【ニューヨーク共同】米金融大手シティグループは7日、前日の米株価急落について、同社トレーダーによる誤発注が原因だったとする一部米メディアの報道を否定する調査結果を発表した。
 米経済専門テレビ局CNBCなどが6日、シティのトレーダーが一部株取引で「ミリオン」(100万)単位で注文を出すところを誤って「ビリオン」(10億)とタイプミスし、それが株価急落のきっかけとなった可能性があると報じた。
 シティはこうした報道について「そうしたうわさは根拠がなく、誤りだった」と結論付けた。
 6日の取引では、株価が短時間のうちに100分の1にまで値下がりするなど、通常ではあり得ない値動きをする銘柄が続出。米国の主要取引所の電子取引でシステム上のミスがあったのではないかとの指摘が市場関係者から出たため、米証券取引委員会(SEC)などが調査している。


---米シティグループ:誤発注に関与した証拠ない-広報担当者(Update1)---
更新日時: 2010/05/07 08:43 JST
http://www.bloomberg.co.jp/apps/news?pid=90920008&sid=awBZtMO5xymU

5月6日(ブルームバーグ):米銀大手シティグループは6日、同日の米株価急落後の誤発注に同社がかかわっていた証拠は見当たらなかったと発表した。
 シティの広報担当スティーブン・コーエン氏は発表文で、「金融業界とともに、われわれは本日の市場の乱高下の原因について調査している」と述べた上で、「現時点でシティが誤発注に関与していた証拠はない」と言明した。
 NYSEユーロネクスト広報担当者、リッチ・アダモニス氏は、ダウ工業株 30種平均が一時約1000ドル安を付けた下落局面で、「多くの誤発注があった」と説明した。下落率は日中の取引としては1987年以来最大となったが、その後下げ幅を縮小した。終値は前日比347.80ドル(3.2%)安の10520.32ドル。
 ナスダックOMXグループは他の市場と協力して検証していると説明した。また消費財大手プロクター・アンド・ギャンブル(P&G)も誤った取引がなかったかどうか判断するため、同社株の電子取引を調査していることを明らかにした。同社の株価は一時37%安を付けた。終値は前日比2.3%安。


--- 米株急落、取引システムの課題浮き彫りに---
2010/5/7 19:41
http://www.nikkei.com/news/headline/related-article/g=96958A9C9381959FE2E5E2E1998DE2E5E2E7E0E2E3E29494E0E2E2E2;bm=96958A9C9381E19E939C8BE2E08DE2EAE2E7E0E2E3E2E2E2E2E2E2E2

 6日のニューヨーク株式市場では午後の取引でダウ平均が突然暴落する異常な値動きになった。誤発注をきっかけに株価が急落。コンピューターによる高速取引システムが自動の売り注文を出し、連鎖的に売りが膨らんだとの観測が出ている。
 この日のダウ平均は午後2時30分前後に突如として暴落し、約20分の間に600ドル超下落。ダウ平均は一時前日比998ドル安と取引時間中として過去最大の下げを記録した。
 日用品大手プロクター・アンド・ギャンブル(P&G)はこの間に約4割下げた。米メディアによると、50ドル台で推移していたボストン・ビール・カンパニー株は一時1ドル割れと、株価が「無価値」に接近した。
 複数の銘柄を一度に売買する「バスケット取引」で、金融機関の証券トレーダーによる誤発注が発生。米メディアによると大手米銀シティグループのトレーダーがP&G株取引で「ミリオン」(100万)単位で注文を出すところを、誤って「ビリオン」(10億)と注文をした可能性があるが、同社は「確認できない」としている。
 売りが市場全体に波及したのは、自動取引システムが一因とみられる。米国ではコンピューターが株価や売買高などの条件を計算して、自動で小口注文を出す「アルゴリズム取引」が幅広く利用されている。この取引では、市場の売買高が膨らんだ時にその分だけ注文を増やす傾向がある。
 これによって「コンピューターを通じた売り注文が一気に膨らみ、下げを加速させた」(欧州系証券トレーダー)との見方は多い。株価に与える影響を抑えて注文を効率的に執行する取引システムとされてきたが、結果的に売りが売りを呼ぶ悪循環となり、株価の振れ幅を大きくした格好だ。
 ニューヨーク証券取引所では、P&Gなど暴落した一部の銘柄について取引を中断して値動きを制限する「サーキットブレーカー」を一時的に発動した。しかし「ダウ平均の下落幅が発動条件となる1050ドルに達しなかったため」(広報)、大半の取引は継続した。
 極端な安値を付けた後に、割安感から一般の投資家などの買い注文が殺到。ダウ平均は最安値からわずか10分程度で500ドル近く値を戻した。
 ナスダック市場を運営するナスダックOMXグループなど各取引所は、同日午後2時40分から午後3時までに価格が60%以上変動した取引を取り消すと発表した。
 米国の証券取引所には、直近の約定した株価から次の取引で成立した株価が一定の水準まで乖離(かいり)した場合に、約定を取り消せる規定がある。
 日本でも2005年12月に、ジェイコム株の誤発注事件が起きた。この時は東京証券取引所にまだそのような規定がなく、損失の負担を巡り誤発注を出したみずほ証券と東証との間で訴訟に発展した。
(ニューヨーク=川上穣)


---Senators seek amendment on Wall Street selloff---
Margaret Chadbourn and Karey Wutkowski
WASHINGTON
Fri May 7, 2010 5:59pm EDT
http://www.reuters.com/article/idUSTRE6466SB20100507

(Reuters) - Two Democratic senators on Friday called for an amendment to the financial reform bill, asking U.S. regulators to report on the causes of Thursday's market plunge and whether circuit breakers are needed for computer-driven trading.

Senators Ted Kaufman and Mark Warner asked Christopher Dodd, chairman of the Senate Banking Committee, to add their amendment to the massive financial reform legislation moving through the Senate, according to a copy of the letter obtained by Reuters.

The amendment would direct the U.S. Securities and Exchange Commission and the Commodity Futures Trading Commission to issue two reports that would explore trading reforms, including risk controls over trading errors and a requirement that certain electronic liquidity providers maintain "fair and orderly markets."

The SEC and CFTC have already said they are reviewing the unusual trading activity on Thursday that resulted in a nearly 1,000-point plunge in the Dow Jones industrial average.

The sudden stocks meltdown stemmed from growing concern about the Greek debt crisis and was widely believed to have been exacerbated by at least one large erroneous trade.

Market participants have speculated that high-frequency and algorithmic trading magnified the wild swing.

"A temporary $1 trillion drop in market value is an unacceptable consequence of a software glitch," Kaufman and Warner said in the letter.

Their amendment would direct the SEC and CFTC to issue a report to Congress within 60 days that covers the causes of Thursday's incident and how the SEC can evaluate whether algorithmic trading presents a systemic risk to the markets.

That report would also cover the potential need for industrywide pre-trade operational risk controls, and how the agencies intend to "tag" high frequency traders over a certain volume threshold.

Within 180 days, the agencies would have to report on whether regulators should insist on circuit breaker mechanisms to prevent computer-driven trading from running amok.

It would also explore whether certain unregulated electronic liquidity providers should be required to maintain "fair and orderly markets," the letter said.

It is unclear whether such an amendment will be among those that will be addressed on the Senate floor in the coming weeks.


---Quick View: Algo-trading changes game---
By Jeremy Grant in London
Published: May 7 2010 17:23 | Last updated: May 7 2010 17:23
http://www.ft.com/cms/s/0/a678f878-59f3-11df-acdc-00144feab49a.html

“Guys this is probably the craziest I’ve seen it down here ever!” This was the strangled cry of a trader in the futures trading pits of Chicago on Thursday afternoon when the stock market plunged a stomach-churning 9 per cent.

But the roller-coaster ride was not caused by traders shouting at each other. It was, instead, driven by computers. For today’s stock markets are overwhelmingly driven by mathematical algorithms programmed to jump in and out of the markets almost at the speed of light, in a frenzied search for trades that yield a quick profit.

To proponents of “algorithmic trading”, this has made markets more efficient and opened up new opportunities. No longer are we so reliant on a wink and a nod in a trading pit. Rapid advances in technology have helped suck in new market participants, boosting the amount of liquidity for the investing public.

But “algo-trading”, and the rise of so-called “high-frequency” traders that often use it, is so pervasive that some suspect it may be hard to see how ordinary investors can be expected to trust market structures in which they have placed their faith for decades. Instead, they seem to serve the interests of short-term traders using the latest computer wizardry.

Over half the US equity markets involve the use of a form of algorithmic or high-frequency trading. That is a huge increase since the 1987 stock market crash, where programme trades were blamed for exacerbating falls.

Moreover, trading takes place not only on the main exchanges - the New York Stock Exchange and Nasdaq - but on a plethora of other platforms, including “dark pools” and systems operated by brokers themselves. Less than 35 per cent of trading in NYSE-listed shares actually takes place on the New York Stock Exchange these days.

The speed of trades is mind-boggling. Last month Algo Technologies, a US company, unveiled a system that can handle a trade in 16 microseconds.

Stock exchanges are courting “algo” traders, eager to attract business away from rival platforms. For most ordinary investors the idea of an exchange is still the neo-classical facade of the mighty NYSE on Wall Street.

But in reality, most shares change hands in vast data centres. One of them, the size of three football fields, opened for business this week in Basildon, UK, built by NYSE Euronext - owner of the New York exchange.

Yet amid the technological revolution, it is unclear whether exchanges and brokers have the risk management systems in place to guard against algos running wild, perhaps triggered by erroneous or “fat finger” trades.

Something else worries observers. The trader in the Chicago shouting himself hoarse was quoting prices in S&P index futures not ordinary shares, which often trade in a direct relationship with equities. That means a problem in the equity markets quickly becomes a problem elsewhere - raising the spectre of a systemic hit to the financial system.

As Wall Street digests the turmoil, the Securities and Exchange Commission is engaged in the most far-reaching study of how technology has changed the way markets work.

It wants to figure out whether ordinary investors have been put at a disadvantage by the technological revolution.

---The Dark Side of Algorithms---
MAY 7, 2010, 5:09 P.M. ET
By TOMI KILGORE And KRISTINA PETERSON
http://online.wsj.com/article/SB10001424052748704292004575230451167076596.html?mod=WSJ_latestheadlines

NEW YORK -The irony of lifeless computer trading is that it's meant to provide a fair, emotion-free trading platform-but that may be true only when the market itself is trading in a fair, emotion-free way.

When the stock market is in panic mode, ultra-fast computer systems can't help keep prices fair, and they have fewer incentives to stand in the way of a falling market.

"It's all math-driven," said Eric Bernstein, chief operating officer at Sophis, a provider of trading and risk management software. "But in a situation where there are massive gaps in the market, it creates a bit of havoc with the program."

That was borne out Thursday, when the Dow Jones Industrial Average plunged more than 600 points in less than 15 minutes, baffling and unnerving investors. Amid the chaos, algorithmic trading shops, or algos, that rely on rapid, computer-based automated trading in theory could have provided much-needed liquidity. Instead, they stayed largely on the sidelines.

High-frequency trading platforms may provide the best bid or best offer at a specific time, but they don't necessarily provide liquidity "depth," said Peter Kenny, managing director at Knight Equity Markets. In a fast-moving market, they may not provide the best second bid or offer, or any at all.

And even those traders who waded into the selloff to provide liquidity may have found themselves penalized as a result. Trades subsequently deemed erroneous were later broken, potentially creating money-losing positions at high-frequency trading shops.

Late Thursday, the exchanges decided to cancel all trades involving swings greater than 60% of a stock's consolidated 2:40 p.m. price. That erased all orders made when a stock dipped to irrationally low prices. But it didn't erase the trades that occurred when the market rebounded. The New York Stock Exchange said that about 4,000 trades were broken Thursday after being identified as clearly erroneous as per exchange rules.

A trader who stepped in and bought a stock that was tumbling could be left unexpectedly owing shares in what is known as a short position. For example, if a stock was trading at $60 a share, but was sold for $10, the trader who bought it at $10 and then sold it later for $50 when the market rebounded would be left holding the shares short at $50, with his previous profit wiped out.

That put those who might have stepped into mitigate the freefall in a bind and left the market open to its rapid descent.

"If in fact they're responding to a true economic disaster, they will buy stock and it will continue to go lower. But if they're responding to a mistake or an overreaction and they buy, they mitigate the freefall," but end up getting penalized for it, said Dick Rosenblatt, chief executive of Rosenblatt Securities. "In this case, the stock rallies and they sell out their position for what they believe to be a profit. In fact after the trade is broken, they end up with a short position and they will again lose money. In either case, in a fully automated market, we have disincentivized liquidity providers from entering the market to limit volatility when we need them most."

Even without broken trades, algos can struggle when prices go awry. For example, a client looking to sell 1,000 shares of a certain stock at the best available price may be able to start selling at the closest bid price of, say, $60. But if that bid can't accommodate the entire 1,000-share market order, the electronic trading system will look to sell the balance of the order at the next best available bid. If that bid happens to be below $40, so be it.

To avoid selling at that sub-$40 price, some high-frequency trading shops made a choice to halt activity. "The reason they have to halt is to establish and see where there is a fair level to print these sells because there are no buyers," Sophis' Mr. Bernstein said.

In the moment, some high-frequency shops turned instead to human judgment. But since those decisions weren't coordinated across all trading platforms, the momentary drain of liquidity may have helped prevent "erroneous trades" at some shops but exacerbated the problem at others. And it left some wondering if the market is adequately structured to stop severe tumbles.

"How have we incented algorithmic traders and high-frequency traders to enter our markets in times of stress?" Mr. Rosenblatt asked. "We really haven't."


---HFT - Don’t Blame Fat Fingers For Yesterday’s Decline---
By Growth Stock Wire on May 7, 2010
By Jeff Clark
http://www.dailymarkets.com/stocks/2010/05/07/hft-dont-blame-fat-fingers-for-yesterdays-decline/

The bars were busy last night.

Traders all over the country - from San Francisco to Manhattan - sought comfort at the bottom of a highball glass. Action like we saw yesterday will do that. No matter whether you were bullish or bearish heading into the day, odds are pretty good you got worked over.

The problem started at about 2:35 p.m. The Dow was down about 300 points. The bears were firmly in control, but it was a steady decline - not an emotional panic. Stocks were so oversold, a brief snapback rally appeared likely.

For about five minutes, anyway. Then the wheels came off.

At 2:41 p.m. stocks started to crash. By 2:47, the Dow was down 1,000 points. The S and P 500 was trading below my 1,080 downside target for this correction phase - which I wrote about here. It felt like a panic. So I started looking for something to buy.

I looked into the option markets, and couldn’t believe what I was seeing. The bid/ask spreads - the difference between what you have to pay to buy an option and what you get to sell it - were 200% or more. In other words, an option that might cost you $3 to buy was only worth $1 if you sold it.

Liquidity had dried up. None of the option market-makers were willing to trade for anything close to a reasonable and fair price. If you wanted to buy options, you were going to have to pay up for them. And if you wanted to sell options, you’d have to do so at a steep discount.

You’d think anyone who owned puts going into this massive 1,000-point decline would have made a fortune. But they couldn’t get out of their positions. There was no one around to take the other side of the trade.

It was a similar problem for anyone wanting to buy call options. And the same thing was happening in the stock market. Bid/ask spreads - which for most stocks are just a penny or two - were $1 or more.

You can’t really do much trading in that situation. If we can’t have faith in a fair market, who wants to play the game?

By 3:00, the Dow was down “only” 500 points and the S and P was back above 1,120 - some 50 points off of its low. The folks at CNBC were speculating this crazy action was the result of a “fat finger” trade - where somebody sitting at an order desk somewhere hits one too many numbers on his keyboard, thereby selling exponentially more stock than he had planned to.

I don’t buy it. This wasn’t a trading error caused by somebody’s chubby fingers hitting the wrong keys. Maybe there was a human trading error, maybe even two or three of them. But that doesn’t account for the entire stock market getting flushed down the toilet.

This was a complete dry-up of liquidity. Too many computers programmed to sell out at the exact same level, and nobody around to take the other side of the trades.

What we saw yesterday was the downside of the high-frequency trading (HFT: 0.00 N/A N/A) and the algorithmic program trading that has kept the market so lopsided to the upside over the past several months. It’s a little taste of what happens when those programs start to reverse. Nobody seems to mind a little computer-generated market manipulation when stock prices are going up. I’m guessing most people feel a little different about it today.

Much like the stock market crash in 1987 brought attention to the side effects of program trading and portfolio insurance, yesterday’s action should shine a similar spotlight on algorithmic trading.

It’s about time.

Best regards and good trading,

Jeff Clark


---外為・株式:NY市場 誤発注でパニック 35分間で700ドル下げ、600ドル戻し---
毎日新聞 2010年5月7日 東京夕刊
http://mainichi.jp/select/biz/news/20100507dde001020041000c.html

◇100万を「10億」
 【ワシントン斉藤信宏】6日のニューヨーク株式市場は午後2時過ぎ、株価の急降下に騒然となった。ダウ工業株30種平均はわずか15分間で約700ドルも下落して1万ドルを割り込み、その後の20分間で約600ドル戻すという「バンジージャンプのような相場」(市場関係者)となり、市場は一時パニックに陥った。
 米メディアによると、混乱のきっかけは米大手金融機関のトレーダーによる誤発注。ダウ平均構成銘柄のプロクター・アンド・ギャンブル社(P&G)の株取引で「ミリオン」(100万)単位で注文を出そうとした際、誤って「ビリオン」(10億)と打ち込んだ可能性があるという。
 これに加え、証券各社のコンピューターが、自動的に損失回避の売り注文を出したことも拍車をかけたと見られる。米CNBCテレビは「機械の暴走と人的ミスが原因」と報じた。


---NY株急落 1000倍誤発注?---
2010年5月7日 読売新聞
http://www.yomiuri.co.jp/atmoney/mnews/20100507-OYT8T00771.htm

million(100万)のつもりがbillion(10億)に
 【ニューヨーク=小谷野太郎】6日のニューヨーク株式市場でダウ平均株価(30種)が急落したきっかけは、「大手金融機関による誤った取引」(金融筋)との見方が広がっている。
 主要銘柄である日用品大手P&Gや化学大手スリーエムの株価が、明確な理由が不明なまま4~2割前後も急落した。大手金融機関が売り注文を出す際に、「ミリオン(million=100万)」と「ビリオン(billion=10億)」を誤って入力した可能性がある。これに、株価が一定以上の比率で下落した際に、損失を回避するために自動的に売り注文を出す証券会社のコンピューターシステムによる取引が下落に拍車をかけた。
 米証券取引委員会(SEC)などは6日、異常な取引について調査する方針を表明した。
 ニューヨーク証券取引所と、ナスダック店頭市場を運営するナスダックOMXグループは6日、相場が急落した午後2時40分~同3時に、株価が60%以上変動した取引をすべて取り消すと発表した。


---東証、2期連続36億円の最終赤字 ジェイコム誤発注で特損---
2010.4.27 15:07
http://www.sankeibiz.jp/business/news/100427/bse1004271514007-n1.htm

 東京証券取引所のは27日、2010年3月連結決算を発表した。ジェイコム株誤発注をめぐる損害賠償請求訴訟をめぐり、みずほ証券への支払いで132億円の特別損失を計上したことから、最終損益は36億円の赤字となった。赤字は2期連続。
 損害賠償訴訟は、控訴審が行われているが、地裁判決の支払い命令分について計上した。
 斉藤惇社長は同日の記者会見で、「特殊な問題で本来ならば黒字が出ていた」と述べた。
 売上高に相当する営業収益は前年同期比9・6%減の606億円となった。株式市場の低迷により、証券会社から徴収する手数料が減少したことが響いた。

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