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10 de octubre de 2010

El BCE endurece la normativa para prestar dinero a los bancos de la zona euro -

Caso cerrado: el 'flash crash' de mayo en Wall Street fue culpa de un 'fondo robot' de futuros -

Este es el informe de la SEC. Interesante (para iniciados).

On May 6, 2010, the prices of many U.S.-based equity products experienced an extraordinarily rapid decline and recovery. That afternoon, major equity indices in both the futures and securities markets, each already down over 4% from their prior-day close, suddenly plummeted a further 5-6% in a matter of minutes before rebounding almost as quickly.
Many of the almost 8,000 individual equity securities and exchange traded funds (“ETFs”) traded that day suffered similar price declines and reversals within a short period of time, falling 5%, 10% or even 15% before recovering most, if not all, of their losses. However, some equities experienced even more severe price moves, both up and down. Over 20,000 trades across more than 300 securities were executed at prices more than 60% away from their values just moments before. Moreover, many of these trades were executed at prices of a penny or less, or as high as $100,000, before prices of those securities returned to their “pre-crash” levels.

By the end of the day, major futures and equities indices “recovered” to close at losses of about 3% from the prior day.
May 6 started as an unusually turbulent day for the markets. As discussed in more detail in the Preliminary Report, trading in the U.S opened to unsettling political and economic news from overseas concerning the European debt crisis. As a result, premiums rose for buying protection against default by the Greek government on their sovereign debt. At about 1 p.m., the Euro began a sharp decline against both the U.S Dollar and Japanese Yen.
Around 1:00 p.m., broadly negative market sentiment was already affecting an increase in the price volatility of some individual securities. At that time, the number of volatility pauses, also known as Liquidity Replenishment Points (“LRPs”), triggered on the New York Stock Exchange (“NYSE”) in individual equities listed and traded on that exchange began to substantially increase above average levels.
By 2:30 p.m., the S&P 500 volatility index (“VIX”) was up 22.5 percent from the opening level, yields of ten-year Treasuries fell as investors engaged in a “flight to quality,” and selling pressure had pushed the Dow Jones Industrial Average (“DJIA”) down about 2.5%.
Furthermore, buy-side liquidity3 in the E-Mini S&P 500 futures contracts (the “E-Mini”), as well as the S&P 500 SPDR exchange traded fund (“SPY”), the two most active stock index instruments traded in electronic futures and equity markets, had fallen from the early-morning level of nearly $6 billion dollars to $2.65 billion (representing a 55% decline) for the E-Mini Generally, a customer has a number of alternatives as to how to execute a large trade. First, a customer may choose to engage an intermediary, who would, in turn, execute a block trade or manage the position. Second, a customer may choose to manually enter orders into the market. Third, a customer can execute a trade via an automated execution algorithm, which can meet the customer’s needs by taking price, time or volume into consideration. Effectively, a customer must make a choice as to how much human judgment is involved while executing a trade.
This large fundamental trader chose to execute this sell program via an automated execution algorithm (“Sell Algorithm”) that was programmed to feed orders into the June 2010 E-Mini market to target an execution rate set to 9% of the trading volume calculated over the previous minute, but without regard to price or time.
The execution of this sell program resulted in the largest net change in daily position of any trader in the E-Mini since the beginning of the year (from January 1, 2010 through May 6, 2010). Only two single-day sell programs of equal or larger size – one of which was by the same large fundamental trader – were executed in the E-Mini in the 12 months prior to May 6. When executing the previous sell program, this large fundamental trader utilized a combination of manual trading entered over the course of a day and several automated execution algorithms which took into account price, time, and volume. On that occasion it took more than 5 hours for this large trader to execute the first 75,000 contracts of a large sell program. 6
However, on May 6, when markets were already under stress, the Sell Algorithm chosen by the large trader to only target trading volume, and neither price nor time, executed the sell program extremely rapidly in
just 20 minutes.

This sell pressure was initially absorbed by:
• high frequency traders (“HFTs”) and other intermediaries8 in the futures market;
• fundamental buyers in the futures market; and
• cross-market arbitrageurs9 who transferred this sell pressure to the equities markets by opportunistically buying E-Mini contracts and simultaneously selling products like SPY, or selling individual equities in the S&P 500 Index.
HFTs and intermediaries were the likely buyers of the initial batch of orders submitted by the Sell Algorithm, and, as a result, these buyers built up temporary long positions. Specifically, HFTs accumulated a net long position of about 3,300 contracts. However, between 2:41 p.m. and 2:44 p.m., HFTs aggressively sold about 2,000 E-Mini contracts in order to reduce their temporary long positions. At the same time, HFTs traded nearly 140,000 E-Mini contracts or over 33% of the total trading volume. This is consistent with the HFTs’ typical practice of trading a very large number of contracts, but not accumulating an aggregate inventory beyond three to four thousand contracts in either direction.
The Sell Algorithm used by the large trader responded to the increased volume by increasing the rate at which it was feeding the orders into the market, even though orders that it already sent to the market were arguably not yet fully absorbed by fundamental buyers or cross-market arbitrageurs. In fact, especially in times of significant volatility, high trading volume is not necessarily a reliable indicator of market liquidity.
What happened next 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.

La Red suena a dinero: Softonic, Tuenti, Privalia, Buyvip... Goirigolzarri? - EL RADAR -

Buffett: "No hemos comprado ni una empresa al capital riesgo, no conocen el negocio" -

8 de octubre de 2010

Ballmer (Microsoft) defiende que las operadoras cobren por el uso de su red -

Eléctricas, gasísticas y renovables abren fuego contra el Gobierno, Empresas,

Gamesa se plantea reducir más de la mitad su producción en España en

Los servicios TIC lideran la creación de empresas en

Guerra de patentes por el móvil ELPAÍ

Antena 3 y La Sexta reavivan las conversaciones para su fusión -

Por qué a los pisos en España les queda un 30% adicional de caída - VALOR AÑADIDO -

Internet Explorer, el fin de una hegemonía -

6 de octubre de 2010 / Audio slideshow: The Kerviel case explained

Para los que quieran comprender algo más del caso del broker Kerviel de SG, condenado en Francia.

Teleco emprendedor: "Para emprender hay que lanzarse aunque no estás seguro de lo que haces" -


Telefónica cifra entre 3.300 y 4.200 millones las sinergias por la compra de la Vivo a PT -

Esta es la presentación actualizada de Telefónica explicando los drivers de las sinergias que genera la integración del 100% de Vivo, la operadora móvil brasileña que tomó control pleno el pasado julio de 2010 mediante adquisición de la participación de PT:

Mínima creación de valor comprometida por Telefónica (total sinergias operativas, financieras y de impuestos): 3.300-4.200 millones de euros.

Cálculos míos, sobre 4.564 millones de acciones, resultan unas sinergias por acción de 0,72 €-0,92 € (sinergias/nºacciones), que en términos de beneficio por acción EPS (actual 1,76 €/acc) es más difícil de calcular, que para un pay-out del 65% significa xxx €- 0,60 € (véase esta entrada del blog).

Valor neto actualizado de las sinergias operativas cifrado entre 2.300 y 2.700 millones €, que se distribuyen (cifras millones €):
- Revenue: 400-500
- Costes comerciales y generales: 1.100-1.200
- Gastos operativos Opex: 500-600
- Inversiones: 500-600
- Deducción de los costes de la integración: -200
Total sinergias operativas: 2.300-2.700 millones €
Sinergias financieras y de impuestos: 1.100-1.500 millones €.
Suma total sinergias operativas, financieras y de impuestos): 3.300-4.200 millones de euros.

Google TV ya está aquí-

La web promocional es esta:

Kerviel irá tres años a la cárcel por el agujero de 4.900 millones en SocGen - ELPAÍ

El 'efecto Vivo' elevará el 11% el dividendo de Telefónica en 2011 -

Microsoft prevé un beneficio bruto de 26.000 millones de dólares para 2010 en

Everis compra la consultora aragonesa Net2u en

La industria española de contenidos digitales se retrae un 5,3% por la crisis en

HP España prevé subir un 50% sus contratos en servicios TIC en

Las 'telecos' cambian de estrategia en sus modelos de televisión por internet en