高频交易的虚假繁荣

ascom

[tr][tr][td=2,1]

美股今秋崩盘的5大理由


tigergoo评论：最近博主收到大量私信，希望开放博客。之前大量转载的文章已经足以警示博友们，博主希望默默地见证一个百年危机结局篇的开场，因此决定关闭博客，日后择机重开。考虑到这个开场的规模和对普通家庭和个人生存的影响力之大，博主经过思想斗争，决定与博友们共同见证这一历史。
博主开博，仅因兴趣，无任何商业目的。因此请有共同兴趣的博友们加强交流，请网特们、剽窃者及没有此方面兴趣的人远离。
已经有数家机构持有与该文作者几乎一致的预测，LEAP/E2020团队和Roger Wiegend是博主认为重要的预测者，今年秋天是他们完全一致的预测危机总爆发的时点，Robert McHugh 更悲观地认为美股会有清盘的可能。
无论你是否相信，你甚至可以说他们是恐怖的空头预测者，但最终的后果只有你及你的家人来承受。
中文转载自：2009年08月07日 03:58  新浪财经

　　导语：6日OmniSans Research资深市场策略师格雷厄姆·萨默斯(Graham Summers)发表评论文章称，高频交易的虚假繁荣、市场成交量严重萎缩、1300万失业人口用完救济、1000万亿衍生品的定时炸弹等因素意味着股市距离崩盘已经很近。
　　如今大家都在谈论什么“绿芽”、经济“复苏”和新一轮“牛市”，我想用一点点现实来唤醒这种金融集体无意识。下面几点都是真实的、有效的，也是恐怖的。
　　(1)高频交易程序占市场成交量的70%
　　高频交易程序(HFTP)从每一笔交易中获得1/4分钱的回扣，它们的目的并不是从交易中赚取利润，只是收集回扣。
　　举个例子，一个机构投资者下了一笔买单，在10.00-10.07美元之间购买甲公司股份15000股。该机构的下单程序为了不至于抬高股价来完成交易，它会分批买进。首先它以10.00美元的价格买入100股。这一单完成之后，程序再以10.01美元的价格买入200股。然后再以10.03美元的价格买入500股。这时候一个HFTP将会发现有一个机构投资者在连续下单。
　　然后HFTP开始跑到这个机构投资者的前面。因此HFTP会下一个10.04美元的100股买单。将股票卖给机构投资者的券商显然愿意以高价出售，于是券商将自己的股票以10.04美元卖给HFTP。HFTP回过头来再将股票以10.04美元卖给这个机构投资者。通过这种方式，交易程序从每一分钱中赚取了1/2分钱(从券商那里买进赚了1/4分钱，卖给机构又赚了1/4分钱)，并使得那个机构投资者成本提高了1美分。
　　这种无聊的交易现在占据整个市场交易量的70%。换句话说，现在的市场不再是基于“真实”的买单和卖单，而是被大量HFTP推着走。如果市场暴跌，HFTP可能彻底停止交易，令市场的成交量一夜之间蒸发70%。拿走70%的成交量，你将得到金融末日。
　　(2)即便算上HFTP成交量，市场成交量也出现1989年以来最严重的萎缩
　　的确，自从1989年夏天以来，成交量从未像现在这样萎缩。标普500指数1989年的表现为我们提供了今年秋天行情的线索。1989年，标普500指数3月份大幅上涨，7月份出现更为猛烈的攻势。在这个过程中，成交量萎缩至微不足道的水平。
　　(3)最近股市的上涨仅仅是轧空
　　到目前为止，股市从3月低点开始上涨了48%。这真是令人难以置信，尤其在当前的经济环境下：通常情况下，如果市场从熊市底部反弹40%以上，经济已经进入复苏模式9个月之久了。
　　我们仔细分析这轮上涨就会发现，这轮行情中“垃圾股”跑赢了价值股。50只盘子最小的股票涨幅领先50只盘子最大的股票7.5%，50只卖空最严重的股票战胜50只卖空最少的股票8.8%。为什么会这样？因为这轮行情主要是轧空行情。
　　(4)年底1300万美国人将用完失业救济
　　媒体上许多死多头对失业救济申领人数下降大声叫好。失业救济申领人数的确在下降，但这意味着大家找到工作了吗？不。这说明大家正在用完他们的失业救济。你只要想一想，美国有3000万人在用食品券(其中2000万人在15-64岁的工作年龄)，很明显实际失业率肯定接近16%。他们正在耗尽政府提供的援助，在2008年下半年失业的300万人将会在2009年10月用完失业救济。
　　(5)1000万亿衍生品的定时炸弹
　　很少有评论家提到美国金融体系中衍生品的名义价值超过1000万亿美元。单是美国的商业银行就持有令人难以置信的202万亿美元衍生品，最大的5家商业银行持有其中的96%。
　　高盛一家的衍生品敞口就达到39万亿美元，这相当于美国GDP的3倍还多。不过这比起摩根大通还是小巫见大巫，其资产负债表上衍生品高达80万亿美元。
　　记住，这些是衍生品的“名义”价值，而非“承担风险”的资金数量。然而，即便这1000万亿美元中只有1%真正面临风险，那么其金额也高达10万亿美元。
原文：
Now, Graham has a method to his madness.  Most nuts do.  However,some methods I agree with, others I don’t.  Some work, some don’t. Some make sense mathematically, others don’t.  So, I like to look atwhat their logic is and parse the logic moreso than say they’re nuts ornot.  Graham lays it out very methodically at Seeking Alpha.

• High Frequency Trading Programs account for 70% of market volume. – I’vecomplained about this one for a while.  HFTP’s could care less whichway the market goes.  They make their money purely on the volume oftrades.  I hate short sells.  For a while they were illegal.  They should always be.  Selling something you don’t have for a loss totally defies all free market logic.  However, in October 2008 the ban was lifted. The market was in full meltdown and it was felt that that shorting wasnot affecting this downward pressure.  How in the hell they came tothat conclusion is beyond me.  But, they did.  Graham waits to get tothe nuts and bolts of why HFTP’s are dangerous in October 2009, so Iwill as well.
• Even counting HFTP volume, market volume has contracted the most since 1989 – That doesn’t seem to be playing out on the other markets, but it does specifically on the S&P large caps. This is the crux of Graham’s biscuit.  He gets very ballsy by statingat this point, “I am officially going on record now and stating that IF the S&P 500 hits 1,000, we will see a full-blown Crash like last year.” Monday, August 3, S&P 500 hit 1,000.  It’s dancing around 1,000right now.  That means Graham is now on record as asserting there willbe a full blown crash.  He doesn’t say exactly when, but he gives moreclues.
• This Latest Market Rally is a Short-Squeeze and Nothing More - “Todate, the stock market is up 48% since its March lows. This is trulyincredible when you consider the underlying economic picture: normallywhen the market rallies 40%+ from a bear market low, the economy isalready nine months into recovery mode. Indeed, assuming the market istrading based on earnings, the S&P 500 is currently discountingearnings growth of 40-50% for 2010. The odds of that happening areabout one in one million.”  I have kind of pondered this aspect myselfalready.  The benefit of the doubt in my mind was the panic was overand the market was returning to a fundamental level.  I don’t mean thatin an ecominc sense.  I mean that in a purely individual businesssense.  Some entities are going to trade stocks just to make money. We’ve heard of them before.  So, you’re going to have a certain valuecreated by the practice of bouncing stock values around just to maketrades.  The weak of heart such as myself had already bailed and werewaiting for the bottom.  Comfortable it’s at bottom, people are slowlygetting back in.  The pessimist in me echoes Graham word for word.  Thenaked short ban of Fall 2008 forced a ton of shorts out of the market. As they’re getting back in, they increase volume, they push up theprice.  They’re simply waiting for the kill.  If they made their movesat 48% ago, the last bottom, then one would think in a short whilethey’ll make their move and push it at the very least back to where itwas.  I’m gonna go along with Graham on this one to a large degree.
• 13 Million Americans Exhaust Unemployment by 12/09 – HereGraham paints the dire picture of the fact that the huge number ofunemployed haven’t fully hammered the economy yet because they havebeen receiving unemploymenty benefits the entire time.  However, thosebenefits will expire by December 2009 and you’ll have a huge drain onthe economy as those people become destitute.  As they becomedestitute, they won’t be spending money buying stuff.  This will hammerthe economy.  Logically, it would for sure.  Realistically, we’ve got aPresident who has a handout for every conceivable excuse.  Allowingmillions of people to go without food, medical care, or housing is notan Obama option.  Not only will he make sure they have the necessitiessuch as food, housing, and medical care, he’ll toss in a free mortgage,a new energy efficient car, a line of credit, and whatever they dreamup.  So, contrary to Graham’s fears, the worse the economy gets, thebetter off the lower income people are. ( That’s sarcasm for sure, butpolitically it’s unreasonable to expect Congress to allow millions ofpeople to have no means of support whatsoever. )  I have to totallydisagree with Graham on this point.  I will concede the long-termeconomic damage done will be something that will weigh on the markets,but the immediate impact will be mitigated.
• The $1 QUADRILLION Derivatives Time Bomb – This one is best understood by people like Graham.  To put it simplest the way I understand it,derivatives have been used to create artificial value in something. The net result is that it artificially boosts the value of somethingto be used to create equity to balance loan values.  If a derivativeloses value, it creates a debt to equity crunch at the institutionholding the derivative.  In other words, it creates a credit crunchexactly how it happened last fall.  The assumption Graham is makinghere is that the Feds learned nothing from the 21st century version ofa stock market crash of ‘29.  What did happen last Fall is that theFeds did figure out a plan to mitigate the derivatives collapse.  Theysimply bought some of the failing derivatives and infused cash to propup those institutions until the markets in theory stabilized.  So,based on that assumption, I have to once again disagree with Graham. But, that comes with a caveat.  Have the markets truly stabilized orare they simply taking a breather?  My personal guess is they aretaking a breather.  I’m going to jump off of Graham’s post at thispoint.

I have a lot more faith in the feds than Graham does.  He has adisconnect between the actions of the Feds and the volume of last Fall. It was the short sale ban that did a lot to curb the volume.  It wasthe discouragement of a lot of individuals waiting this whole thing outthat kept the volume slower than normal.  In other words, it’s theactions of the last crash that have set the numbers to look like thenext one is pending soon, based on what he’s laid out.  However, I’ve got other issues.  Let’s look at some economic variables and how they’ve changed from last October till now:

• Unemployment has gone from 6.6% to 9.5%, most are saying it will get higher.
• Employment shed 385,000 jobs last October, it is projected to shed 467,000 jobs in June.
• The Misery Indexwas at 6.5 last October, it’s 9.5 in June.  It’s most likely going tohit double digits for the first time since 1983 either this month ornext.
• The Gross Domestic Product lost 5.4% last quarter of 2008. It continues to shed value at .8% at the end of June.  To put thingsin perspective, the second quarter of 2009 was the first time since GDPbegan being measured in 1995 that it lost value.  All betsmathematically are off.  There is no history to play with.  However,the 3rd quarter of each year can give some indication.  The years thequarter was positive saw an average of 2.88% growth.  The years ofdeclining third quarters saw an average of 2.49%.  However, the problemI see is that we are almost twice as likely to see a decline as we arean increase.  The declining years outnumber the growth years 9 to 5.
• And lastly, politically, conservatives never liked thebailouts.  Moderates are being attacked verbally across the nation overgovernment expansion.  Bottom line, Bush had an excuse for TARP I.  Hisexcuse was not handing a mess to Obama.  It was a mess anyway.  Obama’sexcuse for TARP II was things were too big to fail, we needed tokick-start the economy “he inherited”, and, he won by a mandate. However, the but feeling I’m sensing is Obama has squandered most ofhis mandate on health care reform, the moderates are squeemish overtrillion dollar deficits, and people are wondering exactly how thesebailouts are helping them as they head to the unemployment office indroves.  Bottom line, the politics of bailouts isn’t going to be onObama’s side next time.  He’ll have the muscle of existing laws, butCongress won’t blindly sign trillion dollar checks next time.  For aquick fix, the money needs to go the ** sector, something Obama’sbeen loathe to do.

So, I see neither the economic fundamentals or the politicalwillpower there to put in place what needs to be done to cut thissituation off before it gets in place.  So, most likely, it will takesome cataclysmic economic event to trigger the economic fixes after thefact.  So, although I discount a couple of Graham’s thoughts, I thinkboth the economics and politics weigh very heavily in his favor.  Oneother thing weighs heavily in his favor as well:

• Monday, October 19,       1987   2164.16   -1738.74     -19.66%
• Monday, October 28,       1929   295.18    -260.64      -11.70%
• Tuesday, October 29,      1929   252.38    -230.07       -8.84%
• Friday, August 12,        1932    68.9     -63.11        -8.40%
• Wednesday, November 06,   1929   252.2     -232.13       -7.96%
• Friday, July 21,          1933    96.26    -88.71        -7.84%
• Wednesday, October 15,    2008    -9301.91   8577.91     -7.78%
• Monday, October 18,       1937    136.3    -125.73       -7.75%
• Monday, December 01,      2008     8826.89   -8149.09     -7.68%
• Thursday, October 09,     2008     9261.69   -8579.19     -7.37%
• Monday, October 27,       1997     7715.41    -7161.15     -7.18%
• Thursday, September 24,   1931     115.99     -107.79      -7.07%
• Thursday, July 20,        1933     103.58     -96.26       -7.07%
• Monday, September 29,      2008     -11139.62    10365.45    -6.95%
• Friday, October 13,      1989      2759.84    -2569.26      -6.91%
• Friday, January 08,      1988      2051.89     -1911.31     -6.85%
• Wednesday, October 05,   1932      70.92       -66.07       -6.84%
• Monday, August 31,       1998      8078.97      -7539.07     -6.68%
• Thursday, July 26,       1934      91.32        -85.51        -6.36%
• Wednesday, October 23,    1929      326.51      -305.85       -6.33%

Half the Top 20 worst days in NASDAQ history fall in the month ofOctober.  He’s simply hedging his bet by citing complex economics



9.15-10.15美股将有巨大的崩溃

tigergoo评论：9.15-10.15股市将有巨大的崩溃。通货膨胀有加速迹象，将推动黄金白银、能源和食品价格上升。美元危机后各国央行将弃用美元但不能杀死美元，因其市场太大。美元指数将跌至46。2009-2011年汽车业急剧萧条，福特不得不将依靠政府救助已求生。金融行业面临巨大修正甚至消失，银行假日后军事戒严和苛捐杂税将非常严重。

特别评论：A股将在美股倒下之前倒下。

Simple Ideas Are Better

Roger Wiegand    Aug 6 2009

Summer offers choppy trading at best withtrend-less days being the norm.  This kind of trading has no convictionleading to losses.

As we race toward events of this fall, 2009, chartpatterns and cycles are firming-up a potential crash outcome forSeptember 15 through October 15. Next we envision our situation afterthe 2010 “Sell In May and go away” period. Our older, many months’ agoforecast for the current rebound was 10,400 to 10,800 as a Dow peak.With the Dow on 9300 last Tuesday morning 9800 seems easily achievedand the higher numbers are beginning to fit the analysis.
Our other important forecasts were for the S&P 500to land on 1050 as a peak and gold at 985-1007 before the fall rallybegins during the third week of this month. Along with thesepredictions we are watching the bonds and US Dollar line-up for seriousselling and failures. The September Dollar futures are stuck on 77.80Tuesday with lower supports at 77.50, 75.00, 72.50 and 70.00.
Bond auctions were watched closely last week with greatnervousness as the amount of proposed new supply was staggering. One ofour favorites, Rick Santelli mentioned he was most worried about theseven year offering. It turned out this group appeared to dowell as we think much of the offering was not in fact sold but “markedas sold” and put on bond purgatory shelves. Wouldn’t it be nice to knowhow much paper resides in this No-Wheresville location? I suspect it would scare the bloody hell out of all markets. This must obviously remain top secret stuff.
We reported last week in our letter, on Kitco and this week in The Trader Tracks Daily Tracker Q&A ourreasons as to why we think the current global central bank policies arenot working and cannot be successful. Most of our readers both in Trader Tracksand in other essays agree. We got some unusually nasty emails defendingthe administration this week, which to me screams of desperation andfailure. Supporters of Obama policies are getting a strong whiff ofcurrent failures and are scrambling futilely to defend them.

“One clue also was Geitner’s highlevel meeting verbal explosion last Friday. This smacks of panic andrejection. He is flailing at the sky in frustration.”

From our perspective and for the America I love we hopethis pack of fools can save the day, pull it off and prove us wrong.Based upon new updates discussed above, we say no chance. The comingcrash is inevitable. Proponents of today’s wrong-headed US policies arebeginning to understand they cannot buy their way out of a depressionand for them it is absolutely terrifying. They are toast and now theyknow it. The larger problem is they took us down with them. And now dowe do about it?

Simple Facts Lead To Correct Solutions

The argument over whether its deflation or inflationhas raged in recent years. Since the tip-over in June, 2005, oursituation has been primarily deflation. Some have suggested that’s itand that’s all we get for years. Unfortunately, things are oftendifferent than they appear to be on the surface.
We suggest however, that current deflative actionmigrates into hard-core inflation as the Treasury and Fed scramble everfaster to band-aid this fatally wounded economy. They cannot seem tounderstand repair of the consumers would save the day. Instead theTARP billions-trillions were tossed at failed banks and corporationsthat are going to fail anyway. The outcome has been no outcome.
Not only have they wasted all that money but theyhave actually thrown gas on the fire making it all the worse asconsumers were left twisting in the wind. Barn-burning dollar inflationis next and could easily slip into hyperinflation. While Chopper Bentold us he was the El Supremo student of the 1930’s depression and noway would this repeat on his watch, the identical mistakes were madeagain. History repeats as current psychology always repeats in humanbeings. Nothing new-nothing changes.

Since our following solution is not politically acceptable,  we will endure the pain of Greater Depression II.

Authorities did not identify theproblem. The correct answer was to mark all debts both public and** down to truly extreme and accurate values. Instead of today’scurrent shenanigans, these problems might have been mitigated (nottotally repaired) with massive tax cuts and mark-to-market policieshealing markets and consumers.

We Do Not Expect A Repeat Of The Dark Ages But This Event Is A Game-Changer.

Obama told us no more taxes. Weforecast the largest and worst tax of all will be approved by theCongress and immediately implemented.

That is the VAT or Value Added Tax on everything sold. VAT could  Begin at 5% to 6% and migrate to higher takings as the Sheeple pay little attention. The outcome is further economic stagnation.

“Value added tax (VAT), or goods and services tax (GST) is a consumption tax levied on value added. In contrast to sales tax,VAT is neutral with respect to the number of passages that there arebetween the producer and the final consumer; where sales tax is leviedon total value at each stage, the result is a cascade (downstream taxeslevied on upstream taxes). A VAT is an indirect tax, in that the tax is collected from someone who does not bear the entire cost of the tax.”

“Personal end-consumers of products andservices cannot recover VAT on purchases, but businesses are able torecover VAT on the materials and services that they buy to make furthersupplies or services directly or indirectly sold to end-users. In this way, the total tax levied at each stage in the economicchain of supply is a constant fraction of the value added by a businessto its products, and most of the cost of collecting the tax is borne bybusiness, rather than by the state. VAT was invented because very high sales taxes and tariffs encourage cheating and smuggling.

It has been criticized on the grounds that (like other consumption taxes) it is a regressive tax.” – Wikopedia

“So waiting in the wings is thebiggest middle-class tax increase of them all: a European-style valueadded tax, or VAT. This tax would apply to every level of production orservice, and its beloved by politicians in Europe because it raises somuch money so easily without voters noticing.” -WSJ

We  project the Cap N Trade energy tax and Obamamania Health Care Planswill  fail. Some might suggest the new VAT tax implemented on all goodsand services would be more costly than these two failures combined. Theend result will a stupendous increase in pure barter and internationaleconomic failure.

Reasons Why We Crash

• The onset of new inflation has been creeping up within the past few weeks. Soon it goes faster.
• This drives certain commodity prices with speed; especially gold, silver, energy and food.
• This fall when events converge, stock markets crash, hard assets rally and the dollar and bonds crash.
• After the dust settles some markets in the first quarter appear repaired and begin to modestly rise.
• In June-July of 2010 AFTER THE SELL IN MAY AND GO AWAY, a bigger smash hits.
• Paper credit markets implode while central banks world-wideshun the US Dollar but fail to kill it off entirely. It's just too biga market. The US Dollar sells from 77.50 to 46.00 over years.
• The financial industry as we know it will largely disappear or suffer major revisions.
• We have reported before that one or more of the exchangescould fail. In our view derivatives having no reality, might crash andburn taking down the CBOE derivative trading platform.
• Banks go on holidays. The Government might impose martiallaw and taxes will skyrocket. These are quite negative but temporaryevents. Taxes will stay intact. Look at Birmingham, Alabama today.
• All governments large and small will be grubbing andgrabbing for cash in new and old taxes to retain the status quo. Theywill fail and bureaucratic layoffs will be legendary.
• The auto industry is extremely thinned out from later 2009through 2011. Ford may finally have to get some government money tostay alive on lack of sales. Others might just fade away.
• U.S. and foreign politics as reflected by their Nanny-Stateideas continue to hang-on for some time as smashed and broken consumersbadly need help of all kinds. Further in time, these ideas are rejectedand old American values as expressed by the US Constitution and Bill ofRights are revived. One positive could be the abundance of growinggovernment will fade.
• Failures of Obamamania and similar government practices willnot go away and die easily. When conditions become as bad as wepredict, the Sheeple run to FDR “Please save me” policies.” Keep inmind our earlier discussion on history repeats.
• These bad economic periods are always resolved with a war.War takes people’s minds off their troubles and employs many folks tobolster the war effort. Let’s just hope after this next one there issomething left of this old world.
• Timing for traders and investors will be more critical thanever. It’s one thing to position for profits and another to escape withthem in swift volatility. Trading must be nimble.
• While hard assets such as farm land, gold, silver, and cashhave great value, they also require elegant timing for entry and exit.We will do our very best to help our readers. Our retirement neck is onthe line too.
• Keep in mind, if you own paid for stuff it willmost   likely remain in your hands; not in somebody else's. Thatincludes gold and silver.

Do not get tangled-up in daily noise. Keep studying thelarger view and buy precious metals after each profit-takingcorrection. Headwinds are building into an economic hurricane. Takecare of business right now. My dire fall prediction might surprise usand arrive earlier. Time is short.
Personally, I can see unbelievable opportunities totrade that we would never see again for many years. Turn these problemsinto opportunities. Those on the right side of the trade might getrich. Those on the other side are just victims. Stay Alert. – Traderrog
Roger Wiegand


声明：文章仅代表作者个人观点，不代表本站观点 ----- 乌有之乡    http://www.wyzxsx.com                   

顺其自然-天台

看不懂 拿分走人