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Jeff Connaughton

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The Glacial Response of the S.E.C. to the Rise of High-Speed Trading and Market Volatility

Posted: 01/03/12 01:10 PM ET

For those who want the Securities and Exchange Commission to fulfill its mission of protecting investors, the New Year brings more bleak reality. It's bad enough that the Justice Department never indicted a single Wall Street executive for the fraud associated with the financial crisis, leaving it to the S.E.C. to wrist-slap a few financiers. Now, after a year in which the Dow Jones Industrial Average gyrated drunkenly, it's obvious where lax enforcement is taking us.

During the last five months of 2011, the average difference between the Dow's intraday high and low was a stomach-churning 260 points. New research suggests that high frequency trading (HFT), which accounts for about 60 percent of daily U.S. stock-trading volume, exacerbates volatility. Jim McCaughan, CEO of Principal Global Investors, agrees. But whatever the causes of the Dow's daily rollercoaster ride, millions of Americans are getting off it. Ordinary investors withdrew more than $135 billion from domestic stock mutual funds in 2011.

We need ordinary investors -- and their capital -- back in the market. To fuel economic growth and to generate greater returns for investors themselves, whose future retirement income will be lower because their nest eggs are now invested in CDs (which pay negligible returns but are safe) instead of equities (which can pay considerably higher returns but right now are too scary).

In October 2009, Senator Ted Kaufman (D-DE), then almost a lone voice on emerging equity-market instability, and I met with SEC Chairman Mary Schapiro. Kaufman wanted to discuss the explosive rise of HFT and the proliferation of electronic trading venues. (In only a few years time, we'd gone from a duopoly of the New York Stock Exchange and Nasdaq to more than 60 market centers.)

Two problems already were evident. First, in the name of competition, the SEC had created conditions under which trading venues were catering to HFT to the detriment of long-term investors and market stability. The threat to stability became disturbingly apparent on May 6, 2010, when the Dow dropped a thousand points in minutes. Eight months earlier, Kaufman had given a speech in which he predicted just such an HFT-fueled flash crash.

Second, while markets proliferated and HFT went viral, the S.E.C. did nothing to update its surveillance and monitoring capabilities. A blind S.E.C. left investors susceptible to possibly rampant manipulation and illicit trading practices. HFT, Kaufman believed, urgently needed transparency and regulatory oversight. He was concerned the SEC would dither. He told Schapiro, "I don't believe you're going to do anything about HFT." She replied, "Just watch."

We did. Occasionally we'd see something. But progress has been painfully slow (the "C" in S.E.C. doesn't stand for the speed of light). Today, it's not just Senators complaining, but some of our leading investment advisors and commentators. Michael Price, formerly CEO and President of Franklin Mutual Advisors, in a December 2011 interview blamed the S.E.C. for markets that he says have hurt mutual funds and other traditional, long-only investors. Last week, Gillian Tett of Financial Times wrote the next "flash crash" may hit with a vengeance.

In response to Kaufman, Schapiro wrote back on December 3, 2009, promising action on three fronts. On November 3, 2010, the S.E.C. finalized a rule that prevents HF traders from having unsupervised access (known in the industry as "naked access") to trading venues and requiring brokers to implement pre-trade risk controls on HFT activity on a market-wide basis. On July 27, 2011, the S.E.C. finalized a rule that requires brokers to collect data of large HF traders, which (when implemented in April 2012) will finally provide the S.E.C. with baseline information about how HF traders operate.

Finally, in early December 2011, Chairman Schapiro said she's "very anxious" to require a "consolidated audit trail" for all HFT. This rule, which she implied might be finalized in the coming weeks, would fill the gaps in reporting requirements that prevent the efficient tracking and policing of orders and trades. A consolidated audit trail would give the S.E.C. eyes. Without it, the S.E.C. can't see what's happening and so can't stop manipulative trading strategies, detect disruptive rogue algorithms, or reduce excessive volatility. Let's hope the S.E.C. implements the consolidated-audit-trail rule swiftly.

Monitoring HFT to detect wrongdoing is crucial. But for this New Year, the S.E.C. should resolve to go even further by completing its market structure review and proposing additional reforms. It can start by rereading the 14 recommendations of the Joint Advisory Committee it convened with Commodities Futures Trading Commission after the flash crash (and Kaufman's August 2010 letter containing his recommendations). Unless the S.E.C. acts soon to regulate HFT effectively and prevent the next flash crash, how many more ordinary investors will have fled the market by the next New Year?

 
 
 
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HUFFPOST SUPER USER
QDP
disillusioned green architect
01:32 PM on 01/26/2012
This is why Mitt Romney and his cohorts will NEVER be elected. There is no public trust in him, or actually very little in any politician at this time. They obfuscate, confuse and misdirect any real true communication. The real issues are not being discussed, hence the voter volatility...

If you propose to be a proponent for change, allow more independent policing, unrestrained review, severe judicial action and fully disclosed transparency in trading activities. The SEC is impotent to all who endeavor to inspect and rectify this system for fair trade and practice. Yes, we expose those engaged in this collusional process, and an abdication of the good old boy system is seen as impossible. Your ship continues to sink.

President Wilson in 1918 lamented that in creating the Federal Reserve System he regretted this action as his single greatest failure. He placed the financial structure into the hands of corporations and greed and corruption. To revise special interests, to control of what was once a free market system, this cannot be restored. In a way that Multi-national corporatism confirmed the growth of corrupt special interests by the definition of oligarchic profit being just another dictatorial plutonomy, we as individuals have lost our ability to correct this.
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HUFFPOST SUPER USER
QDP
disillusioned green architect
01:26 PM on 01/26/2012
Excellent points, JC, but aren't you preaching to YOUR own choir?

The JAC has made some interesting recommendations, but this is exactly the problem. You are policing yourself without being independent of results and changes required. HFT is about profit only, and extremely exclusive about who controls what.
Everything in stock markets is about the efficiency and multiplying venues of profit sharing - on how to leverage capital assets even more. The Derivatives trading market, (with their insanely complex value calculation equations) along with complex trading issues about propriety (and impropriety of collusion), and the lack of consequential punishment for criminal behavior, adds up to mistrust by the common investors. You are perceived as common crooks, albeit on a global scale. You are nonetheless petty crooks, which is your problem: Capitalism at its best is wrong when non-accountability and public deception rule.

Look at the current market variations, and we all wonder: WHY? This is out of control, but unfortunately, the consequences will define the growth and destruction of Nations. If enough people believe it's not working correctly, it isn't ! PERCEPTION is everything.

The US stock market today, frankly, is seen as a giant, complicit Ponzi scheme "too big to fail". It is about the leveraging of perceived assets beyond their true, accounted value. Sure, its a legally sanctioned scheme, but the dike has too many leaks in policy, jurisdiction, regulation and prosecution (what's that?)
06:09 AM on 01/10/2012
From the current article: "But progress has been painfully slow (the "C" in S.E.C. doesn't stand for the speed of light)."

Perhaps time will show that the "C" in SEC stands for complicity?
schatsie
Wall Street is Worse than Vegas
08:42 AM on 01/08/2012
After reading this, it is MORE THAN CLEAR that WIKILEAKS should have access to the SEC and the IRS.....Otherwise, the politicians will keep perpetrating the fraud on the 99%.....
10:37 PM on 01/07/2012
"Fish smell from the head down!"

Where is the leadership from the White House?
Nothing is gonna happen until the POTUS decides to make it happen.
Since he has not chosen to do so, it won't.

He is either lazy, incompetent, or corrupt.

Your choice.
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HUFFPOST SUPER USER
mkelch
Reality is an escape.
03:15 PM on 01/04/2012
Instead of a transaction tax, a capital gains tax on a holding period of less than 1 month might do the trick. The problem is that I'm no expert. All the experts are in HFT. The SEC needs to pony-up and hire people who understand the business before they can possibly oversee it.
10:05 AM on 01/04/2012
Let's strengthen the SEC and increase Federal Revenue by imposing a Transactional Tax.
HF Traders can pay for the privilege of skimming the markets, since they cannot rationally be
called INVESTORS in any way, shape, or form.
09:59 AM on 01/04/2012
How can the SEC allow the most obvious problem of the exchanges allowing HF traders to buy a "look-ahead" of blocks of stock? The 60% number of the amount of HFT is too low because most of the day when the market volume slows it is almost all HF trading. Why can't a simple transaction tax, even .1% or 0.01%, be implemented? This would stop this "fake" trading which can manipulate the market by playing on the difference in liquidity between the various exchanges. Even Goldman-Sachs admitted in court documents that the code it prosecuted the Russian programmer could be used to "manipulate the market"! Of course Goldman would never do this because they are so ethical!
schatsie
Wall Street is Worse than Vegas
08:47 AM on 01/08/2012
Didn't you hear Blankfein saying Goldman Sachs was doing God's work......Just like G Bush was tellling the fundies before he got elected...in secret of course...
HUFFPOST SUPER USER
kamact
Market Observer
10:24 PM on 01/03/2012
SEC is now an enabler of the TBTF banksters,....now a active criminal organization,....
schatsie
Wall Street is Worse than Vegas
08:50 AM on 01/08/2012
Welll Shock Doctrine has come home to roost with a VENGEANCE....Think about Monica Goodling hiring lawyers from the Regency Law School instead of Harvard for the DOJ and knowing the Bushes, they have been doing that for 20 of the last 32 years... Read Family of Secrets...about the WASP Mafia and how they realllly reallly do take care of their own spawn........
ubrew12
that crazy uncle from Amarcord
03:53 PM on 01/03/2012
"It's bad enough that the Justice Department never indicted a single... executive for the fraud associated with the financial crisis" Thats not exactly true. I believe they prosecuted Eliot Spitzer for hiring a prostitute. He was associated with the financial crisis, in the sense that he tried to prevent it by investigating WallStreet bank fraud. And it was his bank which tipped the IRS off to his payments to prostitutes.

A recent article alerted me to the fact that Bernie Madoffs scam was uncovered by a former investment banker, who alerted the SEC repeatedly over a NINE YEAR period to investigate Maddoff for returns that were mathematically impossible. The SEC did nothing until Madoff melted down on his own.

America today locks up FIVE TIMES as many Americans, per capita, as it did prior to the Reagan Administration. So, we know we still believe in Law and Order. What, then, happened to the cops patrolling the finance sector? Is that kind of crime OK?
10:00 AM on 01/04/2012
I really believe that politicians and even the A.G. are working under the premise that the Financial Services Industry is the underpinning for the Economy as a whole, and that nothing must be done
to upset the apple cart, so to speak, unless the offenses are so egregious and public (i.e. Madoff) that they cannot be ignored. We are being controlled by the F.S.I., and in my opinion no real progress will be made until this condition is corrected. No small challenge there!
06:43 AM on 01/10/2012
I think you are correct in your assessment of some politicians' belief system re: the financial sector. I agree it begins with a faulty premise. What escalates the problems in this 'faith based belief system' even further is how it's not just the politicians - many American people are seemingly operating under the same faulty premise. Behavior follows (or is based upon) beliefs. No amount of logic, reason, or reality based observations/assessments seem capable of budging a belief consciously or unconsciously based on a fallacy.

Personally, I feel it also demonstrates a decay in the concepts of citizenship, democracy & justice based on the concepts of human dignity & egalitarianism.

Again personally, I feel the Peoples' Occupy Wall Street movement is just the beginning & has the potential of creating real & measurable progress. It IS a challenge however recognizing & identifying the problems in the 'status quo' conditions is the first step in correcting them.

Conversely, there are some who apparently can see no problems in the current conditions. No problems? No solutions.

The current article links to recommendations made by the Joint Advisory Committee: "... we believe these 14 points are the most important ones upon which to focus to ensure the integrity of the markets and to maximize investor confidence in the aftermath of the many market disruptions over the past several years."

An excellent report which identifies problems & offers plausible solutions.
schatsie
Wall Street is Worse than Vegas
08:52 AM on 01/08/2012
And watch Max Keiser rant about the fact that Martha Stewart went to jail for a cheap tip, while these banksters have perpetrated the biggest housing bubble AND related financial fraud ever......700 trillion dollars in Derivatives is nothing to sneeze at, it will probably bring the US to be the equivalent of Mexico.....