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股市的崩盘可能就在瞬息之间?我们做好准备了吗?

Scott Nations 2017年10月09日

现代股市的崩盘,都是由于一些看起来似乎与金融无关的外部因素所促成的。

“海岛市”油轮之前以波斯湾的岩石岛屿Umm al-Maradim命名,意思是岩石之母。这个名字尽管不太有诗意,却很恰当。在1987年6月的下半月,它和科威特的许多其他船只都被改名,以新的名字在美国国旗之下航行,以此阻止好战的伊朗对波斯湾的船只发动威胁袭击。

然而,此举并未取得效果,1987年10月16日周五,伊朗发动了攻击,从法奥半岛发射了蚕式导弹,袭击了“海岛市”的舰桥和船员居住区。16名船员受伤,船长和一名瞭望员失明。两天后,美国海军予以了回击,“灵敏射手行动”摧毁了伊朗的两个用于监视、充当直升机和两栖巡逻舰基地的钻油平台。1987年10月19日周一,美国人一早醒来,想着我们终于与伊朗开战了。

在此之前的一周里,我们的股市表现糟糕。道琼斯工业平均指数周五暴跌108.35点,创当时历史上的最差纪录。那些在当周拿不定主意该怎么做的投资者,在周末下定了决心:如果要打仗了,那就该抛售了。大量投资者在那个周一蜂拥逃离股市,这让很多人坚定了抛售的决心,以至于大多数人都忘记袭击已经发生了。到周一晚上,人们开始担忧股市会崩溃,那是我们的股市所遭遇的最惨痛的一天,而在那天上午,人们担心的还是战争的前景。

现代股市的崩盘,都是由于一些看起来似乎与金融无关的外部因素所促成的。1906年的旧金山地震导致资产流动性极差,随着资金涌入西海岸,金融市场逃亡,1907年的金融大恐慌随之爆发。1929年,克拉伦斯·哈特立的骗局在伦敦遭到揭露,美国的持股人之后一个月里在纽约大量出售股票。1987年,投资者只用了一个周末来决定抛售。而到2010年5月5日,暴乱、纵火和希腊雅典三名银行员工遭到谋杀,让美国的一名资产经理在一天之内下定决心,采用不顾后果的算法,几分钟里卖掉了价值41亿美元的巨额股票。接踵而至的闪电暴跌,让当天已经下跌300点的道琼斯工业平均指数在随后13分钟内继续狂跌700点,成为了我们所知的最混乱的崩盘。

从一年到一个月,再到一个周末,再到一天,毫不令人意外,催化因素的出现和随后引发的崩盘,期间的间隔越来越短,因为进行交易、收到确认的时间也同样从几天变成了几小时,又变成了几毫秒。然而这意味着,利用纯粹的算法交易系统——它们没有任何实时的人类监控,许多都通过扫描新闻和社交媒体来获得交易线索——会让下一次催化事件发生到引发崩盘的间隔期只剩一个小时甚至一分钟。

随着催化事件和崩盘的间隔期缩短,我们的容错率也会减少。下一次,我们可能无法做出合理的政策回应,再加上只有总统和交易所才有权提早收盘——即便是证券交易委员会也没有这个权力——因此我们甚至都没时间从决策者那里听到安慰。

如今的交易已经由自动化和算法化主导,因此是时候应对这种危险了——不要等到市场崩盘、损害已经产生之后,尽管那时我们可能才有勇气采取行动。我们的各色市场已然经历过小规模的闪电暴跌,这种趋势令人不安。除了2010年5月的大规模暴跌,今年7月的白银市场、2015年8月的股市、2015年3月的美元和2014年10月的长期国库债券都出现过崩盘。我们已经得到过警告了。

闪电暴跌的情况还会继续下去,直到交易所让那些对此负有责任的人承担足够高昂的代价为止。2010年5月6日的闪电暴跌,是一位机构投资人取消了算法中所有关于价格和时间的防护措施之后导致的。如果他付出的代价要超过把那些股票低价卖出的损失,那这种情况就不会出现。如果投资者和他们的经纪人之后被拒绝进入股市,直到他们获得了交易所的认证,确保缺陷已经被修复,方才解除禁令,那我们或许可以率先阻止闪电暴跌。

任何导致闪电暴跌的经纪人,都应当接受交易所对源代码的定期测试,确保其中采用了在追求极致速度时往往被弃用的防护措施,才能被重新许可进入股市。

我们的股市还会崩盘,尽管崩盘这种事看起来还很遥远。1907年金融大恐慌和1929年崩盘间隔了二十多年,1987年的黑色星期一和2008年的抵押危机,期间也有二十多年,然而这样的事实并不意味着我们可以忽略纯电子和算法交易中隐含的缺点。要记住,从抵押危机到2010年5月的闪电崩盘,期间只有不到两年。

算法交易者有责任搞清楚他们的系统会产生怎样的反应。交易所也有义务保证那些人履行了这一责任。(财富中文网)

作者斯科特·内申斯是《美国五次崩盘的历史》的作者,也是NationsShares的总裁。

译者:严匡正

The oil tanker Sea Isle City had originally been named after a rocky island in the Persian Gulf, Umm al-Maradim, which translates, appropriately if unpoetically, into Mother of Boulders. During the second half of June 1987, she and a number of other Kuwaiti ships were rechristened and began sailing with new names and under the American flag in an effort to deter a bellicose Iran from launching threatened attacks on shipping in the Gulf.

It didn’t work and on Friday, Oct. 16, 1987, Iran attacked, launching Silkworm missiles from the Al-Faw Peninsula that struck the Sea Isle City’s bridge and crew quarters. Sixteen were injured and the captain and a lookout were blinded. Two days later the U.S. Navy responded. Operation Nimble Archer destroyed two Iranian oil platforms being used for surveillance and as bases for helicopter and amphibious patrols. Americans waking up on the morning of Monday, Oct. 19, 1987 thought we were finally at war with Iran.

Our stock market had performed terribly the week before; Friday’s loss of 108.35 in the Dow Jones Industrial Average was the worst point loss ever. Those investors who were uncertain about what to do during that week made up their minds over the weekend; if we were at war it was time to sell. The crush of investors fleeing our stock market on that Monday has now overshadowed the catalyst, which convinced many to sell to such a degree that most have forgotten the attacks ever occurred. By Monday evening the worry was that day’s stock market crash, the worst single day our stock market has ever had, but during the first half of the day it was the promise of war.

Every modern stock market crash has been precipitated by some external catalyst that often seems to have nothing to do with finance. But the 1906 San Francisco earthquake led to a crippling lack of liquidity and spawned the Panic of 1907 as capital flooded the West Coast and fled financial markets. In September 1929 the Clarence Hatry fraud was uncovered in London and stockholders in the U.S. decided over the course of the next month to sell in New York. In 1987 it took a weekend to push investors to sell and in 2010 it took just a day from the May 5 rioting, arson, and murder of three bank employees in Athens, Greece to convince one asset manager in the U.S. to launch an unthinking algorithm which sold $4.1 billion worth of stocks, an unthinkable amount, in just a few minutes. The ensuing Flash Crash drove the Dow Jones Industrial Average, which was already down 300 points for the day, down another 700 in just 13 minutes in the most chaotic crash we’ve known.

A year to a month to a weekend to a single day; it should be no surprise that the time from the catalyst to the subsequent crash has collapsed, just as the time it takes to execute a trade and receive a confirmation has similarly collapsed from days to hours to milliseconds. But this means that with the number of purely algorithmic trading systems at work—none of which have any real-time human oversight and many of which are scanning news and social media for trading cues—the time between the next catalyst and start of the ensuing crash may be just one hour or one minute.

As this time span between catalyst and crash has collapsed, so has our margin of error. Next time we won’t be able to formulate a reasonable policy response, and since only the president and the exchanges have the authority to close our markets early—even the Securities and Exchange Commission doesn’t have this power—we may not even have time for reassuring words from policymakers.

With trading now overwhelmingly automated and algorithmic, this is the time to address the danger—not when the market is crashing and not after the damage is done, even though that tends to be when we find the courage to act. Our varied markets have already displayed a troubling tendency to experience smaller flash crashes. Beside the big one in May of 2010, we’ve also seen crashes in the silver market this July, the stock market in August 2015, the U.S. dollar in March 2015, and the Treasury bond market in October 2014. We’ve been warned.

Flash crashes won’t stop until exchanges make them too expensive for those responsible. The May 6, 2010 flash crash was caused by one institutional investor who stripped all the price and time safeguards from their algorithm; they wouldn’t have done that if the cost was more than just selling at disadvantageous prices. If the investor and their broker were both denied access to markets until they could have certified to exchanges that weaknesses had been fixed, we might have stopped that flash crash in the first place.

Any broker who causes a flash crash should only be readmitted to the market after being subjected to periodic testing of their source code by exchanges to assure it is equipped with the sort of safeguards that are often removed in the desperate search for speed.

Our stock market will crash again, although any crash is likely many years off. But the fact that 20 years passed between the Panic of 1907 and the Crash of 1929, as well as between Black Monday 1987 and the mortgage meltdown of 2008, doesn’t mean we can ignore the hidden weaknesses of purely electronic and algorithmic trading. Remember that it was less than two years from the bottom of that mortgage-inspired meltdown to the flash crash in May 2010.

Algorithmic traders have a responsibility to understand how their systems will react. The exchanges have a duty to make certain they fulfill that responsibility.

Scott Nations is the author of A History of the United States in Five Crashes and the president of NationsShares.

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