证券期货市场自动化交易的风险与监管研究
|
摘要
证券期货市场上,自动化交易的报单模式具有机械性、同质化和瞬间巨量的特点,成交需求也是快速变化的,为此本文归纳了自动化交易可能会存在"克隆人进攻"、系统负载大、风险蔓延快、波及范围广等潜在风险,借鉴国际上处理典型风险案例的经验,总结了美国分块并圈定重点式、欧洲分层式、澳大利亚智能分析式及新加坡激励相容式等多个国家的自动化交易监管制度,结合国内"堵"大于"疏"、信息传递不通畅、监控流量指标体系不完备等自动化交易监管方面的不足,提出要接口技术标准化、数据共享与时钟同步、组建跨行业(专业)的技术专家团队等事前监管,优化交易管理规则、加强交易所系统建设、构建应急处理机制、完善交易日志备份等交易所层面的事中监管,以及规范机构投资者使用自动交易软件的自律性等维护清算服务市场的秩序等全流程、分层次、多角度的监管建议。
In recent years, automated trading in the securities and futures markets has risen rapidly, and the speed and complexity of the system have reached an unprecedented level. Automated trading enhances the liquidity and effectiveness of the securities and futures markets, but the risk will follow, and may even lead to the systemic risk. The Supervision of automated trading has become an urgent issue. Market regulators in many countries and regions in Europe and the United States strictly supervise the automated trading of the securities and futures markets. By combing and summarizing foreign policies and regulations on automated trading supervision, and combining with the reality of domestic securities and futures markets automated trading supervision, this paper puts forward the following policy suggestions: establishing a preventative regulation system of the automated trading, strengthening the real time risk management of market transactions, and enhancing the automated trading management ability of clearing procedures.
In recent years, automated trading in the securities and futures markets has risen rapidly, and the speed and complexity of the system have reached an unprecedented level. Automated trading enhances the liquidity and effectiveness of the securities and futures markets, but the risk will follow, and may even lead to the systemic risk. The Supervision of automated trading has become an urgent issue. Market regulators in many countries and regions in Europe and the United States strictly supervise the automated trading of the securities and futures markets. By combing and summarizing foreign policies and regulations on automated trading supervision, and combining with the reality of domestic securities and futures markets automated trading supervision, this paper puts forward the following policy suggestions: establishing a preventative regulation system of the automated trading, strengthening the real time risk management of market transactions, and enhancing the automated trading management ability of clearing procedures.
引文
1.鄂春林,互联网金融资产管理:业务模式与发展路径,南方金融,2016年第8期,9-15。
2.谷世英和刘志云,后危机时代金融衍生品监管的革新及展望,国际关系与国际法学,2015年第1期,239-311。
3.黄人杰,证券市场欺诈行为及反欺诈制度研究,金融监管研究,2015年第7期,92-107。
4.姜海燕和吴长凤,智能投顾的发展现状及监管建议,证券市场导报,2016年第12期,4-10。
5.姜哲,程序化交易的潜在风险和监管体系研究,金融监管研究,2017年第6期,78-94。
6.李晴,互联网证券智能化方向:智能投顾的法律关系、风险与监管,上海金融,2016年第11期,50-63。
7.刘春彦、程红星和赵雯佳,美国期货交易委员会自动化交易最新监管政策进展及启示,证券法律评论,2017年第1期,160-172。
8.刘瑜恒和周沙骑,证券区块链的应用探索、问题挑战与监管对策,金融监管研究,2017年第4期,89-109。
9.鲁胜,论高频交易操纵市场鉴识及其法律规制,社会科学动态,2017年第9期,68-76。
10.王楠和李卓,人工智能在交易所业务发展中的应用初探,中国证券期货,2019年第1期,4-9。
11.吴俊、陈亮和高勇,国外人工智能在金融投资顾问领域的应用及对我国的启示,金融纵横,2016年第6期,88-92。
12.熊熊等,程序化交易及其风险分析,电子科技大学学报(社科版),2011年第3期,32-39。
13.许闲,区块链与保险创新:机制、前景与挑战,保险研究,2017年第5期,43-52。
14.叶伟,我国资本市场程序化交易的风险控制策略,证券市场导报,2014年第8期,46-52。
15.张孟霞,高频交易的频繁报撤单与市场操纵认定--以美国国债期货“虚假报单操纵”案例为视角,证券市场导报,2016年第5期,73-78。
16.张群群,电子交易与期货交易所的组织变革,财贸经济,2000年第12期,54-59。
17.Balvers,R.,and Y.Wu,Optimal Transaction Filters under Transitory Trading Opportunities:Theory and Empirical Illustration,Journal of Financial Markets,2010,13(1),129-156.
18.Currie,W.,and J.,Seddon,The Regulatory,Technology and Market‘Dark Arts Trilogy’of High Frequency Trading:a Research Agenda,Journal of Information Technology,2017,32(2),111-126.
19.Hasbrouck,J.,Order Characteristics and Stock Price Evolution:An Application to Program Trading,Journal of Financial Economics,2004,41(1),129-149.
20.How,J.,M.,Ling,and P.,Verhoeven,Does Size Matter?A Genetic Programming Approach to Technical Trading,Quantitative Finance,2010,10(2),131-140.
21.Huang,B.,Y.,Huan,and D.,Li,Automated Trading Systems Statistical and Machine Learning Methods and Hardware Implementation:a Survey,Enterprise Information Systems,2018,13(2),1-13.
22.Manahov,V.,A Note on the Relationship between High-Frequency Trading and Latency Arbitrage,International Review of Financial Analysis,2016,Vol.47,281-296.
23.Schmidt,A.,Financial Markets and Trading:An Introduction to Market Microstructure and Trading Strategies,Wiley,2011.
24.Zetzsche,D.R.,Buckley,and D.,Arner,Regulating a Revolution:From Regulatory Sandboxes to Smart Regulation,SSRN Electronic Journal,2017,Vol23,461-466.
2.谷世英和刘志云,后危机时代金融衍生品监管的革新及展望,国际关系与国际法学,2015年第1期,239-311。
3.黄人杰,证券市场欺诈行为及反欺诈制度研究,金融监管研究,2015年第7期,92-107。
4.姜海燕和吴长凤,智能投顾的发展现状及监管建议,证券市场导报,2016年第12期,4-10。
5.姜哲,程序化交易的潜在风险和监管体系研究,金融监管研究,2017年第6期,78-94。
6.李晴,互联网证券智能化方向:智能投顾的法律关系、风险与监管,上海金融,2016年第11期,50-63。
7.刘春彦、程红星和赵雯佳,美国期货交易委员会自动化交易最新监管政策进展及启示,证券法律评论,2017年第1期,160-172。
8.刘瑜恒和周沙骑,证券区块链的应用探索、问题挑战与监管对策,金融监管研究,2017年第4期,89-109。
9.鲁胜,论高频交易操纵市场鉴识及其法律规制,社会科学动态,2017年第9期,68-76。
10.王楠和李卓,人工智能在交易所业务发展中的应用初探,中国证券期货,2019年第1期,4-9。
11.吴俊、陈亮和高勇,国外人工智能在金融投资顾问领域的应用及对我国的启示,金融纵横,2016年第6期,88-92。
12.熊熊等,程序化交易及其风险分析,电子科技大学学报(社科版),2011年第3期,32-39。
13.许闲,区块链与保险创新:机制、前景与挑战,保险研究,2017年第5期,43-52。
14.叶伟,我国资本市场程序化交易的风险控制策略,证券市场导报,2014年第8期,46-52。
15.张孟霞,高频交易的频繁报撤单与市场操纵认定--以美国国债期货“虚假报单操纵”案例为视角,证券市场导报,2016年第5期,73-78。
16.张群群,电子交易与期货交易所的组织变革,财贸经济,2000年第12期,54-59。
17.Balvers,R.,and Y.Wu,Optimal Transaction Filters under Transitory Trading Opportunities:Theory and Empirical Illustration,Journal of Financial Markets,2010,13(1),129-156.
18.Currie,W.,and J.,Seddon,The Regulatory,Technology and Market‘Dark Arts Trilogy’of High Frequency Trading:a Research Agenda,Journal of Information Technology,2017,32(2),111-126.
19.Hasbrouck,J.,Order Characteristics and Stock Price Evolution:An Application to Program Trading,Journal of Financial Economics,2004,41(1),129-149.
20.How,J.,M.,Ling,and P.,Verhoeven,Does Size Matter?A Genetic Programming Approach to Technical Trading,Quantitative Finance,2010,10(2),131-140.
21.Huang,B.,Y.,Huan,and D.,Li,Automated Trading Systems Statistical and Machine Learning Methods and Hardware Implementation:a Survey,Enterprise Information Systems,2018,13(2),1-13.
22.Manahov,V.,A Note on the Relationship between High-Frequency Trading and Latency Arbitrage,International Review of Financial Analysis,2016,Vol.47,281-296.
23.Schmidt,A.,Financial Markets and Trading:An Introduction to Market Microstructure and Trading Strategies,Wiley,2011.
24.Zetzsche,D.R.,Buckley,and D.,Arner,Regulating a Revolution:From Regulatory Sandboxes to Smart Regulation,SSRN Electronic Journal,2017,Vol23,461-466.