06 lutego 2018

Czy automaty spowodują kolejny krach?

Tekst jeszcze z grudnia 2017. polecam.

Will the “black boxes” cause the next financial crisis? Risks are mounting as the algorithmic revolution in asset management accelerates.

Estimates paint a portrait of inevitability: algorithms will rule markets. According to Bloomberg News, within 10 years, passive giants Vanguard and Blackrock will manage over $20 trillion combined, up from $10.7 trillion today. Meanwhile, Man Group Plc’s CEO Luke Ellis has predicted: “Machine learning could be involved in 99% of investment management in 25 years.” Given 2017’s unprecedented escalation of financial industry disruption, it is easy to understand why the reign of algorithms appears preordained. Passive strategies and quant funds took in record flows. VIX strategies, cryptocurrencies, and ICOs dominated financial headlines — all products undergirded by algorithms.
Yet, the more power digitally-enabled strategies have accrued, the more risks are materializing in asset markets. Equities are trading less and less on fundamentals as index investing erodes price discovery. Sector rotations are suppressing volatility — thus fomenting complacency — as rules-based strategies obey the same rules. And “faddish” products are generating bubbles destined to pop. At the core of each threat is the rising power of individual investors. Algorithms are enabling greater retail access to strategies and markets, generating unchecked floods into assets that are not adequately understood.Given the diverse forces propelling financial digitization, it is unlikely the algorithmic revolution will abate without a crash. However, when that day comes — and it will come — a reckoning will follow: Should we cede control of markets to machines? As we’ve argued time and again with tech giants, disruptive power accumulates until it meets an opposite power. A backlash against algorithmic dominance of markets appears near-inevitable. We return to a potent truth articulated by Bloomberg View’s Noah Smith“No one knows the basic laws that govern asset markets, so there’s a tendency to use new technologies until they fail, then start over.”To understand the current scope of the algorithmic revolution, “fundamental discretionary traders” now account for only 10% of trading volume in stocks, according to J.P. MorganRules-based strategies are responsible for 60%, more than double a decade ago. Assets in quant funds have surged by 86% to $940 billion since 2010. Vanguard’s “Personal Advisor Services” — the passive giant’s robo-advisor, which algorithmically balances portfolios — has taken more than $65 billion under management in just the two years since it launched. Moreover, as Bloomberg View’s Matt Levine points out, even index funds themselves are really just “crude algorithms”, grouping stocks based on rules pegged to past performance.
Broken down, the algorithmic revolution is defined by three use-cases for the technology: 1) Institutions are employing algorithms to discover insights from big data beyond the computational capability of human analysts. 2) Institutions are utilizing algorithms to shape and execute trading strategies. 3) Incumbents and startups are using algorithms to create cheap, easily- scaled, consumer-facing financial products. While all three applications are no doubt influencing market behavior, the latter appears most-disconcerting given the risks materializing today.
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4 komentarze:

  1. Skoro grają automaty to tym łatwiejsze powinno być zarabianie, bo mamy jeszcze większe prawdopodobieństwo, że to co wydarzyło się kiedyś teraz też się wydarzy.

    Z jedną różnicą, że prawdopodobnie wszystko przebiegnie duuuużo szybciej.


  2. Quant-Blame Game and ‘Crack Analysis’ Behind the Flash Crash

  3. An Inventor of the VIX: ‘I Don’t Know Why These Products Exist


  4. Płaczą bo wtopili na XIV a ja tam się ciesze ze jest tanio. Kupię to jak się oczysci trochę rynek. Rozumiem rozgoryczenie, nocna luka 90% boli, ale jak czytam płacz zarządzających to mi się śmiać chce. Jak tylko zwała jest na rynku to nagle pojawiają sie płaczki. To są zarzadzający "ZOMBIE" - zupełnie jak te spółki od QE.



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