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专栏 - 财富书签

华尔街高科技交易员令人担忧

Scott Cendrowski 2012年06月27日

《财富》书签(Weekly Read)专栏专门刊载《财富》杂志(Fortune)编辑团队的书评,解读商界及其他领域的新书。我们每周都会选登一篇新的评论。
高频交易员的出现使得美国股市进一步沦落为高风险的投资场所。事实上,堪萨斯州的一家共同基金公司在期货市场做了一份卖空就有可能会引发抛售的连锁反应,从而在短短几分钟内导致整个股市崩盘。

    还记得那次闪电式大崩盘吗?2010年5月6日,道琼斯工业平均指数在短短几分钟内暴跌600点。市值达1,650亿美元的消费品巨头宝洁(Procter and Gamble)在几秒钟内就遭受了37%的损失。埃森哲(Accenture)和爱克斯龙(Exelon)跌至每股1美分。所有股票齐齐跳水。

    然而在接下来的一瞬间,一切又都恢复了正常。市场收复了几乎所有失地。问题是,没有人能解释刚刚发生了什么。就算你是摩根士丹利(Morgan Stanley)的大客户也没用,就是没有答案。

    记者最终还原了整个事件的原委。原来,堪萨斯州的一家共同基金公司在期货市场做了一份卖空,因此引发了抛售的连锁反应。在某些方面,这种解释比我们之前一无所知的状态更可怕。难道美国股市已沦落到这种地步吗?一只堪萨斯州的蝴蝶扇动了一下翅膀,就会导致整个股市崩盘吗?

    在《暗池交易》(Dark Pools)一书中,《华尔街日报》(Wall Street Journal)的记者斯科特•帕特森解释了我们陷入这场混乱的原委。有个问题已经在华尔街蔓延十多年了,而闪电崩盘只不过是它最主要的症状。高速交易员,也被戏称为高频交易员,因为他们每秒进行的股票买卖能达到数千次,远远超过股市。

    一方面,他们提供持续的流动性,使得普通投资者不用向纳斯达克或纽约证券交易所的中间商(所谓的做市商)支付惊人的价差。另一方面,他们的不透明技术已为我们上演了诸如闪电崩盘的惨剧。

    作为一名长于数学的财经记者,帕特森善于深挖有关高速交易——华尔街新宠——的生动报道。他的上一本书《宽客》(2010年)详尽描述了量化交易员的全新世界,他们利用计算机算法来处理交易中的苦差事。而在《暗池交易》中,他则瞄准了市场上的跳水现象,在这个过程中,宽客可以在几微秒(百万分之一秒)内进行股票买卖。

    这种跳水最初由纽约斯塔腾岛区的交易员和编程怪才乔希•莱文建立,他们形成的联盟看起来有些另类。最后,天体物理学家也加入进来。他们合力把美国股市改造成了超出前人想像的高速机器。

    Remember the flash crash? On May 6, 2010, the Dow Jones Industrial Average plunged by 600 points over a couple of minutes. Procter and Gamble (PG), the $165-billion consumer giant, lost 37% of its market cap within seconds. Accenture (ACN) and Exelon (EXC) dropped to a penny a share. All hell seemed to be raining down.

    In the next instant, everything was back to normal. The market regained almost all of its losses. Problem was, no one could explain what had just happened. It didn't matter if you were Morgan Stanley's favorite client, there just weren't answers.

    Journalists eventually pieced the story together. It turned out that a mutual fund company in Kansas had set off a chain reaction of selling by placing a single order in the futures market. In some ways, this explanation was more terrifying than our previous state of ignorance. Had the U.S. stock market come to this? Crashing because a Kansas butterfly flapped its wings?

    In Dark Pools, Wall Street Journal reporter Scott Patterson explains how we got into this mess. The Flash Crash was the first major symptom of a problem that has been spreading across Wall Street for more than a decade. High-speed traders, dubbed high-frequency traders because they trade in and out of stocks thousands of times per second, have overtaken the stock market.

    On the one hand, they provide constant liquidity so regular investors don't get charged egregious spreads by middlemen -- the so-called market makers -- at Nasdaq or the New York Stock Exchange. On the other, their opaque technology has given us episodes like the Flash Crash.

    Patterson, a wonderfully numerate financial journalist, is good at ferreting out vivid stories about high-speed trading, the Street's newest infatuation. His previous book, The Quants (2010), was a rich narrative about the new world of quantitative traders -- guys who let computer algorithms do the hard work of trading. In Dark Pools he zeros in on the market plumbing that has allowed quants to jump in and out of stocks in microseconds (millionths of a second).

    The plumbing was first built by an unlikely alliance between Staten Island traders and a programming nerd named Josh Levine. Eventually astrophysicists joined in. Together, they retooled the U.S. stock market into a speed machine unlike anything ever imagined.

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