THE combined forces of speed and technology are turning the stock market into a different animal from the days of our fathers and mothers with small retail players being the casualties of the sweeping changes, particularly in the West. This is the dark side of technology which cannot be ignored but which must be managed by regulators. 

This was the message by Edgar Perez during an interview some weeks ago while he was passing through Kuala Lumpur after a 10-day trip to Indonesia and on his way to South Korea to conduct a Speed Traders Workshop. 

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美国纽约大学金融系教授、高频交易专家埃德加-佩雷兹所著《华尔街噩梦:骑士资本兴亡与金融市场最大风险》(Knightmare on Wall Street: The Rise and Fall of Knight Capital and the Biggest Risk for Financial Markets)一书对骑士资本公司的兴亡进行幕后审视。本书全面叙述了骑士资本如何成为20世纪90年代末投资革命中的弄潮儿,如何奋力度过繁荣与萧条,以及公司衰落、最终被竞争对手收购的不光彩命运。

骑士资本由肯-帕斯特纳克(Ken Pasternak)、沃尔特-拉奎特(Walter Raquet)在1995年创立,之后15年里成为随着美国监管机构对金融市场的系列结构性改革而兴衰浮沉的公司之一。多年来美国最高监管机构证券交易委员会(SEC)想尽各种办法构建一个全国性市场体系,利用科技确保股票买卖订单在最可能的场所交易,这些场所可能是交易所,也可能是国际交易平台和“暗池”之类的场外交易所。所谓“暗池”(dark pool),是指股票交易所之外的交易平台,投资者可以在公众订单委托簿记之外,在这一平台上匿名进行大宗股票交易,交易完成之后价格才会公开,这对机构投资者非常有利。

NASDAQ suffered a trading freeze on August 22, when price quotes were not being disseminated by the Securities Information Processor (SIP) for three hours. While NASDAQ has promised to work with other exchanges that are members of the SIP to come up with permanent fixes, their time to self-police has passed. 

Dear chairman Mary Jo White, 

As informed by NASDAQ on August 22, 2013, price quotes were not being disseminated by the Securities Information Processor (SIP) for three hours. There was a connectivity issue, which led to degradation in the ability of the SIP to disseminate consolidated quotes and trades. After the cause of the issue, The Flash Freeze, was identified and addressed, trading resumed at 3:25PM. While NASDAQ has promised to work with other exchanges that are members of the SIP to investigate the issues, their time to self-police has passed.

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Wrongdoing existed long before the advent of high-frequency trading, and it will always be a part of markets. High-frequency trading is simply a tool; it can be positive or negative for investors and markets. To maximize the benefit and minimize the downsides, regulators need to catch up with the technology.

High-frequency trading has been under a microscope since the infamous “flash crash” in 2010. Let’s remember, though: The market rebounded that day almost as fast as it fell, and regulators ultimately determined that the crash was initiated by human error. But many in the financial sector and in government were uncomfortable at the thought that high-frequency trading programs could vaporize huge amounts of equity in a matter of minutes.

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Edgar Perez: 某个工作日的下午,《国际金融报》记者接到一通电话,一个略带南美口音的外国人希望能够安排一次面对面的独家采访。这位“神秘”的来电人名叫Edgar Perez,是美国畅销书《高频交易》的作者。

Edgar Perez没有任何高频交易的实战记录,但是,他的个人经历绝对丰富。他曾是花旗银行副总裁,IBM和麦肯锡的高级顾问,并被授予Beta Gamma Sigma大奖,这是在美国和世界著名高校的商学院里通行的一个学术奖项。

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2008年金融危機以來,許多對沖基金紛紛倒閉,投資者們也謹慎地捂緊錢袋,然而,有一種交易模式卻在不斷擴張,以它為商業模式的基金也如雨後春筍,這就是高頻交易(High-Frequency Trading)。這種盈利模式的核心競爭力在哪裏,前景又如何?

近日,美國高頻交易專家、《交易快手:透視正在改變投資世界的新興高頻交易》作者埃德加·佩雷斯(Edgar Perez)接受第一財經日報《財商》記者專訪。他表示,實現毫秒或微秒交易的速度是高頻交易的核心競爭力。目前,在發達的市場如美國和歐洲,高頻交易已 占到交易量的一半以上。而假以時日,中國有望成為世界上最大的高頻交易市場。

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