Will the Real Market Failure Please Stand Up?
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- Charlotte Cameron
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1 Will the Real Market Failure Please Stand Up? Chairman Schapiro on September 7 The Flash Crash is clearly a market failure An Internet search produces 767, references to market failure A condition that arises when unrestrained operation of markets yields socially undesirable results The story that was (and to some extent still is) being crafted Market structure itself is the real market failure Why does the Flash Crash live on? It has changed the entire tenor of the regulatory debate concerning market structure and behavior as conditioned by structure The Flash Crash is used as motivation multiple times in an address by Chairman Schapiro as late as March 23 of this year 1
2 The Flash Crash of May 28 A bad morning The market drops sharply in the afternoon, then rebounds Many stocks decline by over nine percent in less than 12 minutes Full investigation, but the cause remains undetermined What did market structure look like? What was the role of market makers, and how did they react? How did market and stop-loss orders play into the crash? Speed, speed and more of the same Investor behavior and changes in the impact of normal market mechanisms, with an eye towards fair and orderly markets Price discovery 2
3 ETF Volatility Market Plunge on May 6, 21: 14:4-15: Average 15 Second Midquote Volatility :4 14:41 14:42 14:43 14:44 14:45 14:46 14:47 14:48 14:49 14:5 14:51 14:52 14:53 14:54 14:55 14:56 14:57 14:58 14:59 15: 6- May 7- May Avg 5/3-5/5 3
4 Message Traffic Signals 25 Market Plunge on May 6, 21: 14:4-15: Average 15 Second Buy Limit Order Cancellations / Modifications Order Cancellations/Modifications :4 14:41 14:42 14:43 14:44 14:45 14:46 14:47 14:48 14:49 14:5 14:51 14:52 14:53 14:54 14:55 14:56 14:57 14:58 14:59 15: Avg 5/3-5/5 6- May 7- May 4
5 What Order Flow Went Along with the Message Traffic? 12, Market Plunge on May 6, 21: 14:4-15: Average 15 Second Number of Fleeting Orders Number of Fleeting Orders 1, 8, 6, 4, 2, 14:4 14:41 14:42 14:43 14:44 14:45 14:46 14:47 14:48 14:49 14:5 14:51 14:52 14:53 14:54 14:55 14:56 14:57 14:58 14:59 15: Avg 5/3-5/5 6- May 7- May 5
6 A Lagging Indicator of Liquidity Provision 7 Market Plunge on May 6, 21: 14:4-15: Average 15 Second TWA Spread 6 TWA Spread (in bps) :4 14:41 14:42 14:43 14:44 14:45 14:46 14:47 14:48 14:49 14:5 14:51 14:52 14:53 14:54 14:55 14:56 14:57 14:58 14:59 15: Avg 5/3-5/5 6- May 7- May 6
7 ETF Depth at the Top of the Book Market Plunge on May 6, 21: 14:4-15: Average 15 Second Bid Depth Sizes Average Bid Depth Size (in shares) :4 14:41 14:42 14:43 14:44 14:45 14:46 14:47 14:48 14:49 14:5 14:51 14:52 14:53 14:54 14:55 14:56 14:57 14:58 14:59 15: Avg 5/3-5/5 6- May 7- May 7
8 ETF Depth Across Ten Price Levels 4, Market Plunge on May 6, 21: 14:4-15: Average 15 Second TWA Bid Depth Size Up to Level 1 Bid Depth Size Up to Level 1 35, 3, 25, 2, 15, 1, 5, 14:4 14:41 14:42 14:43 14:44 14:45 14:46 14:47 14:48 14:49 14:5 14:51 14:52 14:53 14:54 14:55 14:56 14:57 14:58 14:59 15: Avg 5/3-5/5 4,34 4,35 8
9 S&P 5 Growth Index Fund IVW Vs. Portfolio: Bid Depth Level Liquiduty - Ask_Depth_Level 1 Pct Change Cumulative Return Pct :35 14:37 14:39 14:41 14:43 14:45 14:47 14:49 14:51 14:53 14:55 14:57 14:59 15:1 15:3 15:5 9 Ind IVW Bid_1 Ind Portfolio Bid_1 IVW CumRet Portfolio CumRet
10 S&P 5 Growth Index Fund IVW Vs. Portfolio: Bid Depth Level Liquiduty - Ask_Depth_Level 1 Index Change Cumulative Return Pct :35 14:37 14:39 14:41 14:43 14:45 14:47 14:49 14:51 14:53 14:55 14:57 14:59 15:1 15:3 15:5 Ind IVW Bid_1 Ind Portfolio Bid_1 IVW CumRet Portfolio CumRet 1
11 ETFs with Broken Trades Affected ETF's Vs. Aggregated Portfolio: Ask Depth Level Liquidity - Bid_Depth_Level 1-1 Index Change Cumulative Return Pct :35 14:37 14:39 14:41 14:43 14:45 14:47 14:49 14:51 14:53 14:55 14:57 14:59 15:1 15:3 15:5 11 Indx-AffectedETF's-Ask Depth1 AffectedETF's-CumRet Indx-Affected Portfolio-AskDepth1 Affected Portfolio-CumRet
12 ETFs without Trade Breaks Unaffected ETF's Vs. Aggregated Portfolio: Ask Depth Level Liquidity - Bid_Depth_Level 1-1 Index Change Cumulative Return Pct :35 14:37 14:39 14:41 14:43 14:45 14:47 14:49 14:51 14:53 14:55 14:57 14:59 15:1 15:3 15:5 12 Indx-GoodETF-Ask Depth1 Indx-UnAffected Portfolio-AskDepth1 Good ETF-CumRet UnAffected Portfolio-CumRet
13 Was the Liquidity Issue Limited to ETFs? The bulk of the final SEC report is summarized by a few quotes the largest and most erratic price moves were caused by withdrawals of liquidity and the subsequent execution of trades at stub quotes liquidity had virtually evaporated (repeated in different contexts) drops in price become increasingly more severe with ever-larger drops in liquidity All in all, what happened is best described in terms of two liquidity crises one at the broad index level in the E-Mini, the other with respect to individual stocks From market structure to behavior, and onwards to algorithms 13
14 The New Algorithmic Trading Debate 2:32 ET on May 6 An unpriced order was submitted to a volume participation algorithm 35, contracts sold as the contract went from 113 to 156 Five second pause by the CME Futures go back to previous level 4, more contracts sold Total elapsed time: 2 minutes 14
15 Volume Participation, Volatility, and Size Volume Participation strategy Strategyspecific cost (bps) Intraday volatility (%) Relative size (%) Strategy conditional impact vs. intraday volatility (relative order size set to the mean) Relative conditional impact (bps) Active Dark IS VWAP VP Intraday volatility (%)
16 Participation Algorithms for Small Orders 16
17 Participation Algorithms for Large Orders 17
18 If We Have Time for the Regulators Regulation of trading strategies Stub Quotes Regulatory Constraints on Brokers Enhanced Data Transparency Circuit Breakers Automated Review Policies 18
19 Disclaimer These materials are for informational purposes only, and are not intended to be used for trading or investment purposes. The information contained herein has been taken from trade and statistical services and other sources we deem reliable but we do not represent that such information is accurate or complete and it should not be relied upon as such. No guarantee or warranty is made as to the reasonableness of the assumptions or the accuracy of the models or market data used by ITG. These materials do not provide any form of advice (investment, tax or legal).
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