重要时间之窗来临 创业板五大黑马抢风头
经过10天跋涉,一趟运载了4300余吨原油的专列于10月22日从俄罗斯东西伯利亚的安加尔斯克,抵达了远东港口城市纳霍德卡。
国家统计局22日公布数据显示,前三季度我国国内生产总值(GDP)217817亿元,按可比价格计算,同比增长7.7%,比上半年加快0.6个百分点,其中三季度GDP增长速度达8.9%。
中国内地创业板今天隆重开板,来自全球的交易所和成功二板市场纷纷通过上海证券报发来贺信。各大交易所一致认为,创业板的启航,将为中国经济发展起到画龙点睛的作用,标志着中国资本市场发展翻开了崭新的一页。
保监会近日调整了保险机构债券投资的有关政策,放宽保险机构债券投资的比例和范围:保险机构投资企业(公司)债券的比例,由不超过该保险机构上季末总资产的30%,调整为不超过40%,保险机构首次获准投资无担保债券。保监会还要求各保险机构加强债券回购业务管理和回购融入资金管理,切实防范融资融券风险。
国家统计局22日举行新闻发布会公布前三季度国民经济运行数据,数据显示,前三季度中国经济同比增长7.7%,其中三季度增速达到
8.9%。专家表示,尽管全年经济增长"保八"无悬念,但从未来增强经济可持续性和提高效益来看,必须尽快把政府推动的回升转向市场推动的回升。
目前的市场是处在多空胶着的关键时刻,任何风吹草动都对股市产生方向性的引导。隔夜美股的上行使得早盘开盘的跳空高开,但关键还是要资金配合,这是关注的重点。
民生银行开盘跳空站上昨日阴线,股价站上7.8元,作为一个重要的关口,能强势突破后市则看高一线,关注。银行股的发力上行,使得股指的涨幅扩大。
9:42分,招商银行股价站上昨日高点。招行在站上3000点的行情中起到了重要的作用,能否成为沪市股指突破3080点,还需关注。自跳空缺口后,该股上行幅度已经超过了10%,因此,介入该板块此时应谨慎,考虑短线高抛应是方向。
整体看,今日开盘的强势上攻,有突破3100点的迹象。但银行股能否担当冲关的主力,仍应谨慎。不过,由于早盘的强势,使得短线机会出现,操作上可关注热点板块的机会,特别是一些小盘股。
有市场人士分析,今日既是创业板的开板之日,也恰恰是农历24个节气中的霜降节气,而二十四节气一向是技术派高手重视的时间之窗。
与这种节气相关的分析方法源于周期循环理论,一些技术派高手认为,市场的波动与农历的24个节气保持着紧密的联系,大盘往往会在节气日或其前后出现剧烈波动,甚至是变盘。我不擅长这种理论,但是我统计了今年以来市场在节气日前后的表现,出现剧烈波动的概率在70%左右,或是延续原有的趋势,也可能是短期拐点或者中期拐点,看来节气的时间之窗的确值得关注,发生比较大的市场波动是一种大概率事件。如果今日多空双方围绕60天线展开一场激战,投资者也不应该感到任何意外。
从趋势的角度来说,大盘此前放量突破60日均线,确认有效突破之后,目前的震荡更多的还是对60天均线的夯实。毕竟60日均线目前未改变下行趋势,市场需要时间和空间的转换来促使其走平,然后其才会勾头向上,中级上升趋势则全面展开。
而在这个过程中,60天线即使短期再度被跌破,也不说明空头再度主导市场,最好的例子就是今年1月初。需要关注的重点在于:一是沪市单日成交金额是否跌破1000亿元水平,不跌破则市场可以保持足够热度;二是地产、金融这样的反弹先行指标的上升趋势有无变化,如不变则大机构没有改变方向。
How To Trade China With ETFs
Rowland on October 9, 2009 | More
Posts By Ron Rowland | Author’s
Website
rule. Most of the party-goers aren’t old enough to remember
anything else, of course, but that isn’t stopping the nationwide
festivities.
…
- 1.3 billion people – more than 4x the U.S. population …
- 3.7 million square miles …
- And borders that touch 14 other nations!

whole “central planning” thing wasn’t working so well. And
communist ideology gave way to a pragmatic mix of state ownership
and entrepreneurial capitalism.
than it was in 1978, when the economic liberation began.
Depending on how you calculate, China is either the second or third
largest economy in the world!
is transforming China. Farm workers from the massive interior are
drawn by the relative high pay of factories. New cities spring up
out of nowhere to house these workers and provide for their needs
…
shipped to the U.S. or Europe are staying at home, snapped up by
China’s newly-prosperous middle class.
but there really is such a thing in China now. And there’s an
entire younger generation that now knows what they’re missing – and
they’re working hard to reach the next level.

spree.
China represents an amazing investment opportunity. But how do you
play it?
roller-coaster ride, just as it has been the last few years.
Therefore don’t invest unless you’re prepared for the bumps and
jerks.
stocks can deliver amazing profits, but they can be hard to trade.
That’s why I think exchange traded funds (ETFs) are the best way
for most investors to get involved in China’s hot market. And you
have several choices – some diversified, some more
specialized.
Chinese stock market indexes:
- iShares FTSE China Index Fund (FCHI)
- iShares FTSE/Xinhua China 25 Index Fund (FXI)
- SPDR S&P China (GXC)
- PowerShares Golden Dragon Halter USX China Portfolio (PGJ)
constructing a China portfolio. FXI holds the 25 largest Hong
Kong-listed companies that are available to foreigners. FCHI and
GXC are similar but add some mid-cap stocks to the mix. They’re a
little more diversified than FXI. All three are
capitalization-weighted.
Chinese stocks that have a listing on U.S. exchanges. Second, PGJ
uses a tiered-weighting method, which results in the sector mix
being a little different from the others.
two China ETFs that have a tighter focus:
- Claymore/AlphaShares China Small Cap Index ETF (HAO)
- Claymore/AlphaShares China Real Estate ETF (TAO)
Chinese companies. These stocks tend to be less dependent on
exports and more related to China’s domestic economy. TAO gives you
an opportunity to profit from China’s real estate and construction
boom.

far, too fast, and is due for a quick drop? You may still be able
to profit with ProShares UltraShort FTSE/Xinhua China 25 (FXP).
This is a 2x leveraged inverse ETF. For instance, on a day when the
underlying index goes down 2 percent, FXP is calibrated to move
twice as much in the other direction – up 4 percent in this
example.
there’s the ProShares Ultra FTSE/Xinhua China 25 (XPP). This 2x
leveraged “bullish” fund aims to give twice the daily move in the
same direction.
2x math doesn’t always work for periods longer than a day. In other
words, FXP and XPP are best used as tools by short-term traders,
but if your timing is right you can make big profits from
them.
called the yuan), you can do it with these two
instruments:
- Market Vectors Chinese Renminbi/USD ETN (CNY)
- WisdomTree Dreyfus Chinese Yuan Fund (CYB)
CYB: CNY is actually an exchange traded note (ETN),
not an ETF. Practically speaking, ETNs work much the same way as
ETFs, but they’re actually a form of debt instrument. I wrote about
the unique risks of ETNs earlier this year in my Money and
Markets column.
renminbi, so they hold currency derivatives known as nondeliverable
forwards. These are similar to futures contracts, which reflect a
market’s expectations. As a result, these funds might not perfectly
track the yuan.
stunning growth story. I’ve only covered a few of them here, and
ETF sponsors are planning many more. Do your research first, but
don’t overlook China. The opportunity is too big to pass up!
Goldman Sachs And Their High Frequency Trading Program
Fry on July 7, 2009 | More
Posts By Dave Fry | Author’s Website
high frequency trading program pilfered from Goldman
Sachs (GS:
188.17 -2.31 -1.21%). (The
first article is here and you can follow many more at other
sites.)
example, is the recent downturn in volume because Goldman’s
computers were shut down for fear they were compromised?
revealed. Give Wall Street banksters a gaming stake (TARP) and what
do they do with it? They give it to their HAL 9000 to trade the
hell out of markets. Would you like a free trading stake and the
computer to do it? Even though it would be self-defeating in the
end, of course you would.
interesting reading. Monday markets were wishy-washy on continued
shrinking volume. That brought out the “stick save” crew (perhaps
HAL activated) but market internals remain weak.

funds and ETFs. You can see recent deterioration below
(subscription required for more detailed information).


rolling over.







































own the markets and always have, but it’s never been this
over-the-top and outrageous. It’s enough to shine light on this
nonsense and see it for what it is-blatant market manipulation with
taxpayer money. You won’t see much in the way of investigations
because the powers that be are in the hood.
to please (spun as “better than expected”) and disappoint (just
ignore those please).
out.
Digest maintains positions in: MDY, IWM, QQQQ, RWX,
BWX, WIP, DBC, USL, DBB, EWA, and FXI.
How to Understand High Frequency Trading
heard of it now, but get ready, because it’s going to be everywhere
in the next few weeks. After the New York Times‘
exposed how advanced Wall Street computers can execute
impossibly complicated, and possibly unfair, stock trades,
Sen. Chuck Schumer (D-NY) asked the SEC to ban certain types of
high frequency trading, or HFT. But what is HFT exactly, how does
it work?
trades are executed. As the Times reported in a
very clear graphic, computers can "peek" at trade orders 0.3
seconds before they are executed, and actually buy the stock
milliseconds before it goes up in value. During this process they
"ping" (or listen to) the prices, learning how much people are
willing to pay by making a flash bid — a bid to see the maximum
price other buyers are willing to pay.
I’ll play the role of the flash trader. Imagine if eBay had a rule
where you could cancel your bid within 1 second. I put up some
stuff on ebay, and you place a bid for it. Then I place a bid that
is higher than the current bid to see if that becomes the new
highest bid. If it is, I cancel it within milliseconds. Remember, I
don’t want to buy the product — I just want to drive the price
higher! This is similar to what critics of HFT think is going on;
HFT is able to ping prices with bids that exist for only
milliseconds to see how much other buyers are willing to pay to
squeeze out the maximum profit.
people talk about this, and rightfully so since it is a very
technical issue. But the economic ideas are simple, and I want to
give you the water cooler guide to thinking through the relevant
issues in the debate. When you hear discussion about this going
forward, think of how the points made influence these
concepts.
to see someone else’s information, when they can’t see yours, makes
for terrible markets. Beyond issues of fairness and equity, which
are incredibly relevant here, this also leads to an issue of bad
prices. The information reflects only part of what you believed
about the stock in question; computers took advantage of your
situation, but the information that others see as a result of the
front-running doesn’t reflect what you actually believed. You hear
stories about stock prices jumping all kinds of crazy values, with
crazy volume numbers and volatility, because of a few stock
purchases, and these price movements reflect the HFT. Now remember
that the feedback mechanism of stock prices – if you are a Hayekian
– is the whole point of having a market. If trading in markets
doesn’t aggregate information among many diverse parties but
instead turns the price mechanism into a roulette wheel played out
by supercomputers ransacking your 401(k) – because believe me, your
401(k) is a great target – what’s the point? Does that have any
more information than the tyrant social planner?
liquidity to the financial markets. More liquidity in markets is
usually considered to be a good thing, and as such they are being
rewarded for providing a service. There’s a problem with this
though – they have no obligation to provide liquidity. There’s no
formalized procedure in which they post prices with certain time
limits. They, and the HFT practitioners have been very upfront
about this, have no obligations when it comes to providing
liquidity. And it is very likely that they won’t step in when the
financial markets need them the most.
in your car that works all the time except when you are in a car
accident. It isn’t there when you most need it, and it encourges
you to drive a bit faster, and take turns a bit sharper, because
you think you are protected. So instead of being a risk management
tool everyone is aware of, it is instead misinformation.
there will be brutal competition to get the trades to run faster,
hit more stocks and spin more money out of consumers. Even though
more players can get into this, that just means there will be more
players ripping off the information of other players. The issue
isn’t that this is concentrated among a few big market players
(though that is an issue) but that it is happening to our
investments.
attack HFT with side moves. There is an influential white paper by
Themis Trading called
Toxic Equity Trading Order Flow On Wall Street. Themis calls
them program traders, and their job is to push prices in such a way
that it causes a cascade of computers to start going into motion.
Now what is happening? There is no actual change in the
fundamentals of the stock in question, but prices are moving
dramatically. This hurts the ability to learn real information in
the feedback mechanism in prices, which gets us back to the
question of what we want prices to do in a market.
are efficient because, if prices diverge from fundamental values,
smart arbitrageurs will always jump in to bring prices back into
line. But what if it is more profitable to drive prices further
away from fundamental value?
This is likely in theory, and for a variety of reasons we
believe there are
limits to what arbitrage is capable of accomplishing in
bringing prices back into line anyway. HFT, instead of bring prices
to a fundamental value, brings them to the edge of what a person is
willing to pay. This influences other computers, and other traders,
who react accordingly. I’ve spoken to a few quants, and I agree
with their assessment that HFT can exacerbate momentum effects. I’m
willing to be convinced otherwise, but on the first approximation
instead of converging prices to a fundamental value, it seems
likely that these computers are actually driving them away, and
away in such a way where much of cutting-edge finance theory thinks
there is a big weak spot in how financial markets work to correct
bad prices.
plus computers?" This is very similar to what specialists used to
be able to do with the similar "the look" (peeking at someone’s
information) before the NYSE cracked down on them. In those cases
though, "the look" was approximations, not the highly organized
front-running of limit prices down to the penny. And the
specialists were legally required to provide liquidity in specific
ways. They were providing a public good, liquidity in financial
markets, and were perhaps getting rewarded too well for it. The HFT
in this case don’t have the requirements; they can pull their
liquidity from the market at any time, and they’ll pull it at
exactly the moment we need it the most.
information is being exploited by whom and how, (2) does this make
financial markets stronger and more efficient – say by providing
liquidity – during a downturn when markets need them the most, and
(3) what is this doing to the price mechanism – is it helping
prices converge to fundamental values or driving them further away?
The evidence currently looks like HFT is doing bad things on all
three accounts.
Countering High-Frequency Trading
NYT article by Charles Duhigg on high-frequency trading (HFT)
has set off a flurry of argument about the benefits and threats of
this activity to financial trading systems. The revelation that
some systems provide advance information (exposing incoming orders
30-500 milliseconds before they are submitted to the general
market) to select HFT systems has drawn particular fire. Some have
suggested that rapidity of response capability per se could open up
manipulation possibilities or is otherwise destabilizing. We have
also seen questions about whether diverting trade surplus toward
whomever builds the biggest fastest network is an efficient use of
resources, and the implications for perceptions of fairness across
the trading public.
about incoming orders is inherently undesirable. Leveling the
playing field in information promotes efficiency and lowers the
cost of entry for the broader investing public.
for continuous-time trading. In a continuous market,
trades are executed instantaneously whenever there are matching
orders, and introduction of an unmatched order likewise causes an
instantaneous update to the information available to traders.
mechanism (technically, a call market), where orders
are received continuously but clear only at periodic intervals. The
interval could be quite short–say, one second–or aggregate over
longer times–five or ten seconds, or a minute. Orders accumulate
over the interval, with no information about the order book
available to any trading party. At the end of the period, the
market clears at a uniform price, traders are notified, and the
clearing price becomes public knowledge. Unmatched orders may
expire or be retained at the discretion of the submitting
traders.
totally eliminates any advantage of HFT systems. It does
not eliminate the opportunities for algorithmic trading in
general–just those that come from sub-second response time. No
party has privileged information about order flow, and no party
benefits by getting a shorter wire to the "trading floor".
incurred by those who dangle limit orders in continuous trading
systems. Given the latency in retracting an order, an HFT system
can take advantage of existing orders when new information becomes
available. Because of this, systems need to provide extra
incentives for the so-called "liquidity providers" who are willing
to maintain a limit order. In the discrete-time systems, nobody can
hang back and prey on liquidity providers. In order to trade, one
must incur the one-second (or whatever) exposure. But everyone is
doing that, and no information about orders becomes available
anyway in that interval, so this exposure spreads out the risk
evenly.
continuous mechanisms. Aggregating orders over time eliminates some
of the noise in matching based on arbitrary arrival sequences, thus
producing higher surplus overall, and less price volatility. There
is a classic tradeoff here between efficiency and execution delay.
But with clearing intervals as short as a second, it seems hard to
argue that this delay has very much real cost.
technological changes, all well within feasibility in my view. The
conceptual change of mindset required of the trading community may
be a more serious challenges, but the benefits could be
immense.