证券期货市场高频交易的法律监管框架研究
|
摘要
高频交易在我国证券市场上已经初露端倪,因其负外部性较大,亟需制定相应的监管规则予以克服。以金融法中的"三足定理"为理论指导,可以将对高频交易的法律监管分为风险监管、行为监管与竞争监管三大类别。这三类监管又以信息监管为基础,于是这四类监管共同构成了一个具有普适性的高频交易监管框架。对于高频交易,我国的监管政策选择应该是予以适当的限制或抑制。此外,对高频交易的法律监管还要树立"以快对快"的监管理念,因此,我国对高频交易的监管规则应不断及时修订,从而跟上市场之变化。
On Chinese stock market,the HFT has revealed its importance for the first time. Because of its negative externality,it is urgent to develop corresponding regulatory rules to overcome it. With the theoretical guidance of the "tripartite theorem"of the Financial Law,the legal supervision of the HFT can be divided into three categories: risk supervision,behavior supervision and competition supervision. As the three kinds of supervision are based on information supervision,the four kinds of supervision constitute a universally applicable framework for the regulation of the HFT. In this sense,China should restrict or curb the HFT properly and establish the regulatory concept of "match speed against speed "for the legal supervision of it. Therefore,regulatory rules of the HFT should be revised timely in order to keep pace with the changes in the market.
On Chinese stock market,the HFT has revealed its importance for the first time. Because of its negative externality,it is urgent to develop corresponding regulatory rules to overcome it. With the theoretical guidance of the "tripartite theorem"of the Financial Law,the legal supervision of the HFT can be divided into three categories: risk supervision,behavior supervision and competition supervision. As the three kinds of supervision are based on information supervision,the four kinds of supervision constitute a universally applicable framework for the regulation of the HFT. In this sense,China should restrict or curb the HFT properly and establish the regulatory concept of "match speed against speed "for the legal supervision of it. Therefore,regulatory rules of the HFT should be revised timely in order to keep pace with the changes in the market.
引文
(1)Diego Leis,High Frequency Trading:Market Manipulation and Systemic Risks From an EU Perspective(Feb.29,2012),at http://papers.ssrn.com/sol3/papers.cfm?abstract id=2108344.at 18.(last visited on Feb.11,2016)
(2)参见[法]弗雷德里克·勒雷艾弗、弗朗索瓦·比雷:《高频交易之战:金融世界的“利器”与“杀器”》,刘宇新、刘文博译,机械工业出版社2015年版,第1页。
(3)参见[美]迈克尔·德宾:《打开高频交易的黑箱》,谈效俊、赵鲲、朱星星译,机械工业出版社2013年版,第3页。
(4)上海证券交易所、复旦大学联合课题组:《高频交易及其在中国市场应用研究》,第23期上证联合研究计划报告。
(5)参考美国商品期货监管委员会(CFTC)与美国证监会(以下简称SEC)2010年的报告所总结的特征。See CFTC&SEC,Preliminary Findings Regarding the Market Events of May 6,2010:Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues,(May 18,2010)at http://www.sec.gov/sec-cftc-prelimreport.pdf(last visited on Feb.11,2016).
(6)参考了中国证监会《证券期货市场程序化交易管理办法(征求意见稿)》(2015年10月)第2条的定义,但增加了其技术属性。
(7)Charles M.Jones,What Do We Know About High Frequency Trading?(Mar.20,2013)at 45,at http://papers.ssrn.com/sol3/papers.cfm?abstract id=2236201.at 5(last visited on Feb.11,2016).
(8)参见[美]艾琳·奥尔德里奇:《高频交易》,谈俊华、杨燕、王仰琪译,机械工业出版社2011年版,第17-18页。
(9)佚名:“全球高频交易巨头Jump Trading进驻港股,亚太股市或起波澜”,载http://yueyu.cntv.cn/2015/08/13/ARTI1439455575828370.shtml,最后访问时间:2016年2月1日。
(10)参见董铮铮:《伊世顿暴利案背后的“幌骗交易”》,载《上海证券报》2015年11月24日。
(11)[美]萨尔·阿努克、约瑟夫·萨露兹:《华尔街的数据大盗:高频交易的罪与罚》,刘飏译,人民邮电出版社2014年版,第2页。
(12)参见邢会强:《金融危机治乱循环与金融法的改进路径---金融法中“三足定理”的提出》,载《法学评论》2010年第5期;冯果:《金融法的“三足定理”及中国金融法制的变革》,载《法学》2011年第9期。
(13)是否存在“三足”之外的另一“足”(比如金融秩序)?笔者认为,其他“足”并不足以与这“三足”相比肩,其重要性远不如这“三足”。因此,“三足定理”是成立的。至于金融秩序,则从属于其他价值目标,且在不同的体制下,金融秩序内含的价值目标是不同的。计划经济体制下的金融秩序是服从,从属于金融安全与稳定;市场经济条件下的金融秩序是有序竞争,从属于金融效率与公平。
(14)前引(12),冯果文。
(15)参见管斌:《金融法的风险逻辑》,法律出版社2015年版,第86页。
(16)参见陈韶旭:《1987年的黑色星期一是如何拯救的》,载《文汇报》2015年7月17日第T02版。
(17)参见林建:《透视高频交易》,机械工业出版社2015年版,第41页。
(18)导致这次程序错误的原因是,骑士资本的系统管理员在给一台服务器升级时,忘记了将PowerP eg模块从AMARS系统中删除干净。
(19)光大证券竟然将没有测试过的软件模块注入了生产系统,最终酿成大祸。参见前引(17),林建书,第47页。
(20)[美]迈克尔·戈勒姆、尼迪·辛格:《电子化交易所:从交易池向计算机的全球转变》,王学勤译,中国财政经济出版社2015年版,第295页。
(21)See Nathan D.Brownt,The Rise of High Frequency Trading:The Role Algorithms,and the Lack of Regulations,Play in Today’s Stock Market,11 Appalachian J.L.209,219(2012).
(22)参见前引(21)。
(23)See Justin Dove,Is High Frequency Trading Causing Higher Volatility?at http://seekingalpha.com/article/288775-is-highfrequency-trading-causing-higher-volatility(last visited on Jan.27,2016).
(24)See Frank Pasquale,Law’s Acceleration of Finance:Redefining the Problem of High-Frequency Trading,36Cardozo L.Rev.,Vol.(2015),p.2125.
(25)See CFTC&SEC,Findings regarding the market events of May 6,2010:Report of the staffs of the CFTC and SEC to the joint advisory committee on emerging regulatory issues(Sep.20,2010),at http://www.sec.gov/news/studies/2010/marketevents-report.pdf(last visited on Feb.11,2016).
(26)Press Release,U.S.Sec.&Exch.Comm'n,SEC Adopts New Rule Preventing Unfiltered Market Access(Nov.3,2010),at https://www.sec.gov/news/press/2010/2010-210.htm(last visited on Jan.27,2016).
(27)See Risk Management Controls for Brokers or Dealers with Market Access,75 Fed.Reg.at 69794.
(28)Larry Harris,Trading and Electronic Markets:What Investment Professionals Need to Know,Social Science Electronic Publishing,at http://ssrn.com/abstract=2692539.(last visited on Feb.11,2016).
(29)Mark Koba,Market Circuit Breakers:CNBC Explains,CNBC.coM(Aug.10,2011),at http://www.cnbc.com/id/44059883#(last visited on Jan.27,2016).
(30)Press Release,U.S.Sec.&Exch.Comm’n,SEC Approves Rules Expanding Stock by Stock Circuit Breakers and Clarifying Process for Breaking Erroneous Trades(Sept.10,2010),at http://www.sec.gov/news/press/2010/2010-167.htm(last visited on Feb.11,2016).
(31)2005年,SEC推出了“全国市场体系管理规则”(Regulation National Market System),要求交易指令必须在全国公示,而不再只是在各个交易所内公示,这个规则为高频交易者利用微小的报价差创造了现实条件。
(32)吴伟央:《证券错误交易撤销制度的比较分析:法理、标准和程序》,载《证券法苑》2012年第7卷,第732页。
(33)参见前引(32),吴伟央文。
(34)See Order Granting Approval of Proposed Rule Changes Relating to Clearly Erroneous Transactions,75 Fed.Reg.56613,56614(Sept.16,2010).
(35)即对于投资者来讲最低的买价和最高的卖价。美国证监会的规则规定全国市场体系应要求其经纪商确保对投资者来讲最佳的买卖报价。该最佳价格是时时更新并公布给投资者的。
(36)具体言之,对于试行“单一熔断机制”的证券,做市商的报价不得超过NBBO的8%;对于上午9:45之前和下午3:35之后不适用“单一熔断机制”的证券,做市商的报价不得超过NBBO的20%;对于不适用“单一熔断机制”的ETF,做市商的报价不得超过NBBO的30%;在以上任一种情况下,在一个新的报价落在可适用的界限之前,都允许做市商的报价较NBBO有1.5%的额外偏离。
(37)SEC Approves New Rules Prohibiting Market Maker Stub Quotes,FOR IMMEDIATE RELEASE,2010-216,at https://www.sec.gov/news/press/2010/2010-216.htm(last visited on Feb.11,2016).
(38)参见中国证券法学研究会课题组:《配资业务及相关信息系统之法律规制》,载《金融服务法评论》2015年第7卷,第236页。
(39)参见我国现行《证券法》第120条。
(40)参见卢文道、陈亦聪:《证券交易异常情况处置的原理及其运用---兼谈我国〈证券法〉相关制度的完善》,载《证券法苑》2011年第5卷;张才琴、金琦雯:《论我国证券错误交易撤销制度的构建---域外经验及其借鉴》,载《法商研究》2014年第5期;董新义:《可撤销证券错误交易判别标准研究》,载《证券法律评论》2016年卷。
(41)参见顾功耘:《证券交易异常情况处置的制度完善》,载《中国法学》2012年第2期。
(42)See Jena Martin,Changing the Rules of the Game:Beyond a Disclosure Framework for Securities Regulation,118W.Va.L.Rev.,59,91(2015).
(43)参见邢会强:《金融消费者的法律定义》,载《北方法学》2014年第4期。
(44)前引(11),阿努克、萨露兹书,第69页。
(45)Andrew J.Keller,Note,Robocops:Regulating High Frequency Trading after the Flash Crash of 2010,73 OHIO ST.L.J.1468(2012).
(46)Frank Pasquale,supra note(24).
(47)See https://www.sec.gov/news/press/2009/2009-201.htm(last visited on Feb.11,2016).
(48)参见前引(17),林建书,第143页。
(49)See http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2013-12365a.pdf(last visited on Aug.1,2016).
(50)参见前引(49)。
(51)Motion denied by,Motion for new trial denied by United States v.Coscia,2016 U.S.Dist.LEXIS 46333(N.D.Ill.,Apr.6,2016).
(52)FINRA Sanctions Trillium Brokerage Services,LLC,Director of Trading,Chief Compliance Officer,and Nine Traders$2.26Million for Illicit Equities Trading Strategy,at http://www.finra.org/newsroom/2010/finra-sanctions-trillium-brokerageservices-llc-director-trading-chief-compliance(last visited on Feb.11,2016).
(53)参见前引(3),德宾书,第62-64页。
(54)See Gregory Scopino,The(Questionable)Legality of High-Speed“Pinging”and“Front Running”in the Futures Markets,47Ct.L.Rev.,607,686-687,697(2015).
(55)See ESMA,Systems and controls in an automated trading environment for trading platforms,investment firms and competent authorities,Feb.24,2012,at 16.at https://www.esma.europa.eu(last visited on Feb.11,2016).
(56)邢会强:《金融法理论的变革与“金融服务法”理论的初步构建》,载《金融服务法评论》2010年第1卷。
(57)前引(3),德宾书,第7页。
(58)[美]斯科特·帕特森:《暗池:高频交易及人工智能大盗颠覆金融世界的对决》,孙豪、王泽宪等译,机械工业出版社2015年版,第331-332,326页。
(59)Larry Harris,supra note(28)。
(60)前引(59)。
(61)参见吴晓灵、李剑阁、王忠民:《高频交易对市场的影响》,载《清华金融评论》2016年第2期。
(62)See Frank Pasquale,supra note(24).
(63)See Frank Pasquale,Diagnosing Finance’s Failures:From Economic Idealism to Lawyerly Realism,2 India L.J.,6(2012).
(64)Frank Pasquale,supra note(24),2127.
(65)参见申屠青南:《吴晓灵建议限制高频交易》,载《中国证券报》2012年5月17日。
(66)Adam Adler,High Frequency Regulation:A New Model for Market Monitoring,39 Vt.L.Rev.161,186(2014).
(67)参见[英]约翰·梅纳德.凯恩斯:《就业、利息和货币通论》,宋韵声译,华夏出版社2005年版,第123页。
(68)参见戴新竹:《欧盟金融交易税税制安排的解读及启示》,载《国际税收》2014年第11期。
(69)参见莫莉:《2015年底最后期限临近,欧盟征收金融交易税或将“爽约”》,载《金融时报》2015年11月27日第8版。
(70)See Steve Matthews,Stiglitz Calls High-Speed Trading“Front Running”,Suggests Tax,BLOOMBERG(Apr.15,2014),at http://www.bloomberg.com/news/2014-04-15/stiglitz-calls-high-speed-trading-front-running-suggests-tax-html(last visited on Feb.11,2016).
(71)参见张亚伟:《近年来国外金融交易税理论研究新进展》,载《学术界》2015年第3期。
(72)前引(64)。
(73)See Ross P Buckley,A Financial Transactions Tax:The One Essential Reform,47(2)Intereconomics-Review of European Economic Policy 99,101(2012).
(74)参见Charles M.Jones,supra note(7).
(75)Frank Pasquale,supra note(24),2106.
(76)中国证监会《程序化交易办法(征求意见稿)》第15条则肯定了征收订单费的合法性。
(77)参见邢会强:《信息不对称的法律规制---民商法与经济法的视角》,载《法制与社会发展》2013年第2期。
(78)“大型交易商”的标准是:在任一日内,其交易量达到或超过200万股或者2000万美元市值的交易者,或者在任一月度内,其交易量达到或超过2000万股或者2亿美元市值的交易者。See Large Trader Reporting,76 Fed.Reg.46960(Aug.3,2011)(codified at 17 C.F.R.pts.240&249).
(79)See Press Release,U.S.Sec.&Exch.Comm'n,SEC Adopts Large Trader Reporting Regime(July 26,2011),at http://www.sec.gov/news/press/2011/2011-154.htm(last visited on Feb.11,2016).
(80)Letter from the Parties to the National Market System Plan Governing the Consolidated Audit Trail to Brent J.Fields,Sec'y,U.S.Sec.&Exch.Comm'n 1(Sept.30,2014),at http://catnmsplan.com/web/groups/catnms/@catnms/documents/appsupportdocs/p600989.pdf(last visited on Feb.11,2016).
(81)See Hayden C.Holliman,The Consolidated Audit Trail:An Overreaction to the Danger of Flash Crashes from High Frequency Trading,19 N.C.Banking Inst.135,159-164(2015).
(82)See Consolidated Audit Trail,77 Fed.Reg.45722,45723(Aug.1,2012)(codified at 17 C.F.R.pt.242).
(83)前引(11),阿努克、萨露兹书,第76-77页。
(84)Charles R.Korsmo,High-Frequency Trading:A Regulatory Strategy,48(2)U.Rich.L.Rev.,523,597(2014).
(85)Adam Adler,supra note 66)(.
(86)参见前引(66),187.
(87)Richard Finger,High Frequency Trading:Is It a Dark Force Against Ordinary Human Traders and Investors?,Sept.30(2013),at http://www.forbes.com/sites/richardfinger/2013/09/30/high-frequency-trading-is-it-a-dark-force-againstordinary-human-traders-and-investors/#38c0f05351a6(last visited on Feb.11,2016).
(88)前引(66),187.
(2)参见[法]弗雷德里克·勒雷艾弗、弗朗索瓦·比雷:《高频交易之战:金融世界的“利器”与“杀器”》,刘宇新、刘文博译,机械工业出版社2015年版,第1页。
(3)参见[美]迈克尔·德宾:《打开高频交易的黑箱》,谈效俊、赵鲲、朱星星译,机械工业出版社2013年版,第3页。
(4)上海证券交易所、复旦大学联合课题组:《高频交易及其在中国市场应用研究》,第23期上证联合研究计划报告。
(5)参考美国商品期货监管委员会(CFTC)与美国证监会(以下简称SEC)2010年的报告所总结的特征。See CFTC&SEC,Preliminary Findings Regarding the Market Events of May 6,2010:Report of the Staffs of the CFTC and SEC to the Joint Advisory Committee on Emerging Regulatory Issues,(May 18,2010)at http://www.sec.gov/sec-cftc-prelimreport.pdf(last visited on Feb.11,2016).
(6)参考了中国证监会《证券期货市场程序化交易管理办法(征求意见稿)》(2015年10月)第2条的定义,但增加了其技术属性。
(7)Charles M.Jones,What Do We Know About High Frequency Trading?(Mar.20,2013)at 45,at http://papers.ssrn.com/sol3/papers.cfm?abstract id=2236201.at 5(last visited on Feb.11,2016).
(8)参见[美]艾琳·奥尔德里奇:《高频交易》,谈俊华、杨燕、王仰琪译,机械工业出版社2011年版,第17-18页。
(9)佚名:“全球高频交易巨头Jump Trading进驻港股,亚太股市或起波澜”,载http://yueyu.cntv.cn/2015/08/13/ARTI1439455575828370.shtml,最后访问时间:2016年2月1日。
(10)参见董铮铮:《伊世顿暴利案背后的“幌骗交易”》,载《上海证券报》2015年11月24日。
(11)[美]萨尔·阿努克、约瑟夫·萨露兹:《华尔街的数据大盗:高频交易的罪与罚》,刘飏译,人民邮电出版社2014年版,第2页。
(12)参见邢会强:《金融危机治乱循环与金融法的改进路径---金融法中“三足定理”的提出》,载《法学评论》2010年第5期;冯果:《金融法的“三足定理”及中国金融法制的变革》,载《法学》2011年第9期。
(13)是否存在“三足”之外的另一“足”(比如金融秩序)?笔者认为,其他“足”并不足以与这“三足”相比肩,其重要性远不如这“三足”。因此,“三足定理”是成立的。至于金融秩序,则从属于其他价值目标,且在不同的体制下,金融秩序内含的价值目标是不同的。计划经济体制下的金融秩序是服从,从属于金融安全与稳定;市场经济条件下的金融秩序是有序竞争,从属于金融效率与公平。
(14)前引(12),冯果文。
(15)参见管斌:《金融法的风险逻辑》,法律出版社2015年版,第86页。
(16)参见陈韶旭:《1987年的黑色星期一是如何拯救的》,载《文汇报》2015年7月17日第T02版。
(17)参见林建:《透视高频交易》,机械工业出版社2015年版,第41页。
(18)导致这次程序错误的原因是,骑士资本的系统管理员在给一台服务器升级时,忘记了将PowerP eg模块从AMARS系统中删除干净。
(19)光大证券竟然将没有测试过的软件模块注入了生产系统,最终酿成大祸。参见前引(17),林建书,第47页。
(20)[美]迈克尔·戈勒姆、尼迪·辛格:《电子化交易所:从交易池向计算机的全球转变》,王学勤译,中国财政经济出版社2015年版,第295页。
(21)See Nathan D.Brownt,The Rise of High Frequency Trading:The Role Algorithms,and the Lack of Regulations,Play in Today’s Stock Market,11 Appalachian J.L.209,219(2012).
(22)参见前引(21)。
(23)See Justin Dove,Is High Frequency Trading Causing Higher Volatility?at http://seekingalpha.com/article/288775-is-highfrequency-trading-causing-higher-volatility(last visited on Jan.27,2016).
(24)See Frank Pasquale,Law’s Acceleration of Finance:Redefining the Problem of High-Frequency Trading,36Cardozo L.Rev.,Vol.(2015),p.2125.
(25)See CFTC&SEC,Findings regarding the market events of May 6,2010:Report of the staffs of the CFTC and SEC to the joint advisory committee on emerging regulatory issues(Sep.20,2010),at http://www.sec.gov/news/studies/2010/marketevents-report.pdf(last visited on Feb.11,2016).
(26)Press Release,U.S.Sec.&Exch.Comm'n,SEC Adopts New Rule Preventing Unfiltered Market Access(Nov.3,2010),at https://www.sec.gov/news/press/2010/2010-210.htm(last visited on Jan.27,2016).
(27)See Risk Management Controls for Brokers or Dealers with Market Access,75 Fed.Reg.at 69794.
(28)Larry Harris,Trading and Electronic Markets:What Investment Professionals Need to Know,Social Science Electronic Publishing,at http://ssrn.com/abstract=2692539.(last visited on Feb.11,2016).
(29)Mark Koba,Market Circuit Breakers:CNBC Explains,CNBC.coM(Aug.10,2011),at http://www.cnbc.com/id/44059883#(last visited on Jan.27,2016).
(30)Press Release,U.S.Sec.&Exch.Comm’n,SEC Approves Rules Expanding Stock by Stock Circuit Breakers and Clarifying Process for Breaking Erroneous Trades(Sept.10,2010),at http://www.sec.gov/news/press/2010/2010-167.htm(last visited on Feb.11,2016).
(31)2005年,SEC推出了“全国市场体系管理规则”(Regulation National Market System),要求交易指令必须在全国公示,而不再只是在各个交易所内公示,这个规则为高频交易者利用微小的报价差创造了现实条件。
(32)吴伟央:《证券错误交易撤销制度的比较分析:法理、标准和程序》,载《证券法苑》2012年第7卷,第732页。
(33)参见前引(32),吴伟央文。
(34)See Order Granting Approval of Proposed Rule Changes Relating to Clearly Erroneous Transactions,75 Fed.Reg.56613,56614(Sept.16,2010).
(35)即对于投资者来讲最低的买价和最高的卖价。美国证监会的规则规定全国市场体系应要求其经纪商确保对投资者来讲最佳的买卖报价。该最佳价格是时时更新并公布给投资者的。
(36)具体言之,对于试行“单一熔断机制”的证券,做市商的报价不得超过NBBO的8%;对于上午9:45之前和下午3:35之后不适用“单一熔断机制”的证券,做市商的报价不得超过NBBO的20%;对于不适用“单一熔断机制”的ETF,做市商的报价不得超过NBBO的30%;在以上任一种情况下,在一个新的报价落在可适用的界限之前,都允许做市商的报价较NBBO有1.5%的额外偏离。
(37)SEC Approves New Rules Prohibiting Market Maker Stub Quotes,FOR IMMEDIATE RELEASE,2010-216,at https://www.sec.gov/news/press/2010/2010-216.htm(last visited on Feb.11,2016).
(38)参见中国证券法学研究会课题组:《配资业务及相关信息系统之法律规制》,载《金融服务法评论》2015年第7卷,第236页。
(39)参见我国现行《证券法》第120条。
(40)参见卢文道、陈亦聪:《证券交易异常情况处置的原理及其运用---兼谈我国〈证券法〉相关制度的完善》,载《证券法苑》2011年第5卷;张才琴、金琦雯:《论我国证券错误交易撤销制度的构建---域外经验及其借鉴》,载《法商研究》2014年第5期;董新义:《可撤销证券错误交易判别标准研究》,载《证券法律评论》2016年卷。
(41)参见顾功耘:《证券交易异常情况处置的制度完善》,载《中国法学》2012年第2期。
(42)See Jena Martin,Changing the Rules of the Game:Beyond a Disclosure Framework for Securities Regulation,118W.Va.L.Rev.,59,91(2015).
(43)参见邢会强:《金融消费者的法律定义》,载《北方法学》2014年第4期。
(44)前引(11),阿努克、萨露兹书,第69页。
(45)Andrew J.Keller,Note,Robocops:Regulating High Frequency Trading after the Flash Crash of 2010,73 OHIO ST.L.J.1468(2012).
(46)Frank Pasquale,supra note(24).
(47)See https://www.sec.gov/news/press/2009/2009-201.htm(last visited on Feb.11,2016).
(48)参见前引(17),林建书,第143页。
(49)See http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2013-12365a.pdf(last visited on Aug.1,2016).
(50)参见前引(49)。
(51)Motion denied by,Motion for new trial denied by United States v.Coscia,2016 U.S.Dist.LEXIS 46333(N.D.Ill.,Apr.6,2016).
(52)FINRA Sanctions Trillium Brokerage Services,LLC,Director of Trading,Chief Compliance Officer,and Nine Traders$2.26Million for Illicit Equities Trading Strategy,at http://www.finra.org/newsroom/2010/finra-sanctions-trillium-brokerageservices-llc-director-trading-chief-compliance(last visited on Feb.11,2016).
(53)参见前引(3),德宾书,第62-64页。
(54)See Gregory Scopino,The(Questionable)Legality of High-Speed“Pinging”and“Front Running”in the Futures Markets,47Ct.L.Rev.,607,686-687,697(2015).
(55)See ESMA,Systems and controls in an automated trading environment for trading platforms,investment firms and competent authorities,Feb.24,2012,at 16.at https://www.esma.europa.eu(last visited on Feb.11,2016).
(56)邢会强:《金融法理论的变革与“金融服务法”理论的初步构建》,载《金融服务法评论》2010年第1卷。
(57)前引(3),德宾书,第7页。
(58)[美]斯科特·帕特森:《暗池:高频交易及人工智能大盗颠覆金融世界的对决》,孙豪、王泽宪等译,机械工业出版社2015年版,第331-332,326页。
(59)Larry Harris,supra note(28)。
(60)前引(59)。
(61)参见吴晓灵、李剑阁、王忠民:《高频交易对市场的影响》,载《清华金融评论》2016年第2期。
(62)See Frank Pasquale,supra note(24).
(63)See Frank Pasquale,Diagnosing Finance’s Failures:From Economic Idealism to Lawyerly Realism,2 India L.J.,6(2012).
(64)Frank Pasquale,supra note(24),2127.
(65)参见申屠青南:《吴晓灵建议限制高频交易》,载《中国证券报》2012年5月17日。
(66)Adam Adler,High Frequency Regulation:A New Model for Market Monitoring,39 Vt.L.Rev.161,186(2014).
(67)参见[英]约翰·梅纳德.凯恩斯:《就业、利息和货币通论》,宋韵声译,华夏出版社2005年版,第123页。
(68)参见戴新竹:《欧盟金融交易税税制安排的解读及启示》,载《国际税收》2014年第11期。
(69)参见莫莉:《2015年底最后期限临近,欧盟征收金融交易税或将“爽约”》,载《金融时报》2015年11月27日第8版。
(70)See Steve Matthews,Stiglitz Calls High-Speed Trading“Front Running”,Suggests Tax,BLOOMBERG(Apr.15,2014),at http://www.bloomberg.com/news/2014-04-15/stiglitz-calls-high-speed-trading-front-running-suggests-tax-html(last visited on Feb.11,2016).
(71)参见张亚伟:《近年来国外金融交易税理论研究新进展》,载《学术界》2015年第3期。
(72)前引(64)。
(73)See Ross P Buckley,A Financial Transactions Tax:The One Essential Reform,47(2)Intereconomics-Review of European Economic Policy 99,101(2012).
(74)参见Charles M.Jones,supra note(7).
(75)Frank Pasquale,supra note(24),2106.
(76)中国证监会《程序化交易办法(征求意见稿)》第15条则肯定了征收订单费的合法性。
(77)参见邢会强:《信息不对称的法律规制---民商法与经济法的视角》,载《法制与社会发展》2013年第2期。
(78)“大型交易商”的标准是:在任一日内,其交易量达到或超过200万股或者2000万美元市值的交易者,或者在任一月度内,其交易量达到或超过2000万股或者2亿美元市值的交易者。See Large Trader Reporting,76 Fed.Reg.46960(Aug.3,2011)(codified at 17 C.F.R.pts.240&249).
(79)See Press Release,U.S.Sec.&Exch.Comm'n,SEC Adopts Large Trader Reporting Regime(July 26,2011),at http://www.sec.gov/news/press/2011/2011-154.htm(last visited on Feb.11,2016).
(80)Letter from the Parties to the National Market System Plan Governing the Consolidated Audit Trail to Brent J.Fields,Sec'y,U.S.Sec.&Exch.Comm'n 1(Sept.30,2014),at http://catnmsplan.com/web/groups/catnms/@catnms/documents/appsupportdocs/p600989.pdf(last visited on Feb.11,2016).
(81)See Hayden C.Holliman,The Consolidated Audit Trail:An Overreaction to the Danger of Flash Crashes from High Frequency Trading,19 N.C.Banking Inst.135,159-164(2015).
(82)See Consolidated Audit Trail,77 Fed.Reg.45722,45723(Aug.1,2012)(codified at 17 C.F.R.pt.242).
(83)前引(11),阿努克、萨露兹书,第76-77页。
(84)Charles R.Korsmo,High-Frequency Trading:A Regulatory Strategy,48(2)U.Rich.L.Rev.,523,597(2014).
(85)Adam Adler,supra note 66)(.
(86)参见前引(66),187.
(87)Richard Finger,High Frequency Trading:Is It a Dark Force Against Ordinary Human Traders and Investors?,Sept.30(2013),at http://www.forbes.com/sites/richardfinger/2013/09/30/high-frequency-trading-is-it-a-dark-force-againstordinary-human-traders-and-investors/#38c0f05351a6(last visited on Feb.11,2016).
(88)前引(66),187.