【2009经济学人杂志双语阅读】Rise of the machines 机器为王

chijiaoshunv

High-frequency trading
高频交易

Rise of the machines
机器为王(注1)

Jul 30th 2009
From The Economist print edition

Algorithmic trading causes concern among investors and regulators
算法交易引起投资者与监管者的关注

THE arrest of a former Goldman Sachs employee in July for allegedly stealing the firm’s proprietary computer codes thrust the arcane world of high-frequency trading (HFT) into the spotlight. The glare of attention is intensifying. High-frequency traders are essential providers of liquidity—accounting for roughly 50% of trading volume on the New York Stock Exchange—and can claim to have squashed bid-ask spreads. But many claim HFT comes at the price of gouging other investors.

七月，一名前高盛员工因涉嫌盗窃该公司专有的计算机代码而被捕，这一事件将神秘的高频交易(HFT)世界推到了聚光灯下。而且人们对它的关注度还在不断的 增强。高频交易者是市场流动性的主要提供者——约占到了纽交所交易量的50%——而且声称可以弥合买卖之间的价差。但是很多高频交易主要是用来欺骗其他投 资者的。

The basic idea of HFT is to use clever algorithms and super-fast computers to detect and exploit market movements. To avoid signalling their intentions to the market, institutional investors trade large orders in small blocks—often in lots of 100 to 500 shares—and within specified price ranges. High-frequency traders attempt to uncover how much an investor is willing to pay (or sell for) by sending out a stream of probing quotes that are swiftly cancelled until they elicit a response. The traders then buy or short the targeted stock ahead of the investor, offering it to them a fraction of a second later for a tiny profit.

高频交易的基本原理是利用巧妙的算法与超高速计算机来侦测并利用市场的动向。为了避免暴露自身的意图，机构投资者会将大单交易分割为小块来完成——往往是 大量指定价格范围内的100至500股。高频交易者试图利用一连串的试探性报价(会立即撤销的定单)来获知投资者希望在什么价位买进(或卖出)股票。而 后，他们先于投资者买入(或卖空)该股票再马上转手给该投资者以获取微小的差价收益。

Another popular HFT strategy is to collect rebates that exchanges offer to liquidity providers. High-frequency traders will quickly outbid investors before immediately selling the shares to the investor at the slightly higher purchase price, collecting a rebate of one-quarter of a cent on both trades. Other tactics include piggybacking on sharp price movements to increase volatility, which increases the value of options held by traders. The speeds are mind-boggling. High-frequency traders may execute 1,000 trades per second; exchanges can process trades in less than 500 microseconds (or millionths of a second).

另一种流行的高频交易策略是赚取做市的差价与交易所的回扣。高频交易者会先购买再迅速以稍高于买入价的价格卖给投资者，以此赚取买卖双方的差价与四分之一 分的回扣(注2)。其他的一些伎俩包括促使价格剧烈变动以增加波动性，而波动性的增大可以使高频交易者所持有期权的价值增加。高频交易的速度是难以置信的 快——1000次交易每秒——而交易所能以500微秒(微秒即百万分之一秒)的速度处理每笔交易。

Asymmetric information is nothing new. Even its critics concede that most HFT is perfectly legal. But some of the advantages that accrue to high-frequency traders look unfair. Flash orders, a type of order displayed on certain exchanges for less than 500 microseconds, expose information that is only valuable to those with the fastest computers. By locating their servers at exchanges or in adjacent data centres traders can maximise speed. “It appears exchanges are conspiring with a privileged group of high-frequency traders in a massive fraud,” says Whitney Tilson, a fund manager. Requiring orders to be posted for at least a second would nullify the value of flash orders and of probing the market.

信息不对称并不是什么新鲜话题。即便高频交易的批评者也承认大部分这种交易都是完全合法的。但是一些因高频交易而带来的优势则显得有些不公平。那些用小于500微秒的闪电指令所 探测出来的信息仅仅只能给那些拥有最快速电脑的人带来好处。在交易所或者在临近的信息中心放置自己的服务器则能够使交易商的速度最大化。“这说明在这场大 骗局中，交易所与那些拥有高频交易员的特权集团是共谋关系”基金经理惠特妮•提尔森(Whitney Tilson)这样说道。其实只要要求订单至少需要挂牌一秒钟便能使闪电指令和探测市场的方法毫无用处。

A group that accounts for nearly 50% of a market also introduces systemic risk. Lime Brokerage, a technology provider, has raised the prospect of a rogue algorithm going awry. Many believe that last year’s extreme market volatility was heightened by high-frequency traders. According to Nassim Nicholas Taleb, an author and investor, HFT “magnifies changes and ultimately makes the system weaker”.

对于一种占有50%市场交易量的方法，其本身也会给市场带来系统性风险。技术提供商Lime Brokerage已经预期这种流氓算法会被取缔。很多人认为高频交易者助长了去年市场的急速波动。按作家兼投资者Nassim Nicholas Taleb，的说法，高频交易“放大了变化并最终使系统更加脆弱”。

The market can correct some of these problems. Institutions are developing their own algorithms to confuse high-frequency traders. Bigger investors are moving to “dark pools”, electronic trading venues that conceal an order’s size and origin. The London Stock Exchange announced in July that it was abolishing liquidity rebates. Regulators are also rolling up their sleeves. On July 24th Charles Schumer, a Democratic senator, urged the Securities and Exchange Commission to ban flash orders. As trading moves from milliseconds to microseconds to nanoseconds, everyone is learning to act more quickly.

市场可以自行更正其中的一些问题。比如一些机构正在发展自己的算法来迷惑高频交易者，更大的投资者正在将交易移向“暗池”——电子交易能隐藏订单的规模和 来源。伦敦证交所在7月宣布，它已取消了流动性回扣。监管机构也开始挽起袖子了(注3)。在7月24日，民主党参议员查尔斯舒默(Charles Schumer)就已敦促美国证券交易委员会禁止闪电指令。在这个交易速度已从毫秒到微秒再提升至纳秒的今天，每个人都学会了更迅速地采取行动。


译注：
1. rise of the machines 是电影终结者三的名字，相信大家都看过吧。反正好莱坞的片子，不管机器多牛，人类总是会胜利的。
2. 非专业，内行的高人麻烦关注一下。
3. 准备抄家伙了。

chijiaoshunv

文章背景
FTChinese 有一些报道与评论，可以看一下：

1.前高盛高管因窃取交易代码被捕         
http://www.ftchinese.com/story.php?storyid=001027421

2.高盛前高管涉案突显IT重要               
http://www.ftchinese.com/story.php?storyid=001027451

3.Lex专栏：高频交易阴谋论               
http://www.ftchinese.com/story.php?storyid=001027858

4.Lex专栏：“闪电指令”带来的难题   
http://www.ftchinese.com/story.php?storyid=001028008