如何看待上海破获特大操纵期货市场案 ？ - 知乎172被浏览<strong class="NumberBoard-itemValue" title="分享邀请回答162 条评论分享收藏感谢收起yatedo.com/p/George+Zarya/normal/b0cb51db8此人还是莫斯科交易所监督委员会的成员:他在国内的公司注册:这里有一个访谈：下面是他的一些言论: "The natural way to boost liquidity on instruments that are not as liquid is to introduce market-making programmes. Basically, we have illiquid commodities and some other instruments that could be hedged off internationally. So, what’s happening right now is that many of our clients take
the liquidity that is here in Russia on Micex and Forts and then they
expose this to international platforms – on LSE, on Eurex, on Turquoise,
on MTFs and so on. This could be one of the ways we boost the liquidity by encouraging the market-makers to trade locally, give them some incentive.""The
way Western exchanges bring liquidity is that they bring brokers and
clients who have the access to multiple exchanges or to any marketplaces
that trade the same instrument. So you know that your competitors such
as Eurex and Turquoise, which have derivatives on Russian DRs, create
liquidity by providing access to traders who already have access to
Forts. So, basically they have the possibility of hedging and trading
arbitrage. The same thing could be done here. Clients who already have access to international markets can provide that liquidity onto Forts""Well,
essentially you can translate the market depth from one market onto
another and if you’re an algo trader, you can hedge it immediately
without any exposure and make money off the inefficiencies, just the
little spreads. It’s not that difficult to transfer the liquidity from
one market to another""As Marina mentioned, the situation with MF Global was potentially fraud-related, so the sort of day-to-day
risk management procedures couldn’t really stop that. These kind of
things definitely make us think more about our counterparty selection.
We are in an environment when any bank can go down pretty much, despite
the size, despite the history, balance sheet and so on and so forth. Our
clients need extra assurance that their assets are fully protected,
fully segregated etc. So we just go on and make sure that all the
processes and all the rules are being followed.""Our entire
business model is essentially based on electronic trading and high
turnover clients and they are being more and more demanding in terms of
what they can do and what leverage they want. So, basically we are
pushed to offer a multi-market, multi-asset class, high leverage
platform which does require a lot of risk management systems and low
latency as well. So, that’s a huge challenge for our IT and for our risk
management to handle but we are doing it pretty well so far""Well, we haven’t really faced this particular question yet because our main markets are mostly Russia-based or out of London and at this point we haven’t really met any strict constraints on expanding our business but we are prepared to do so because we are trying to keep up with the market, with the technology and with market standards, so we are just going where the market goes""We see that the algorithmic trading segment of our clients are catching up with their US and European counterparts quite quickly in terms of technology and in terms of adapting different strategies
and so on. Right now if we’re looking at the specific front ends and
technology the clients use, they immediately look at the lowest latency
possible solution which is co-location, native protocols, exchange
protocols and self-made software. So, it’s all written by them, the
fastest ones usually do it themselves and they pursue this model"另外一位Anton Murashov的linkedin他的blog他的确是干HFT的，他在网上问过相关问题:我估计他们用的是Spoofing操控市场，因为报导中提到:"伊世顿账户组通过高频程序化交易软件自动批量下单、快速下单，申报价格明显偏离市场最新价格，实现包括自买自卖（成交量达 8110手、113亿元人民币）在内的大量交易，利用保证金杠杆比例等交易规则，以较小的资金投入反复开仓、平仓，使盈利在短期内快速放大"这个Spoofing手法在欧美也是违法的。“Spoofing” is an illegal type of market manipulation that works like
bluffing: A trader places big orders for stocks, bonds or futures to get
others to think the price is going up or down. Then, in the blink of an
eye, the spoofer cancels those orders and puts in opposite orders to
take advantage of those traders. .
It skews the marketSpoofing undermines
confidence in the markets because it can make prices move erratically
and lead investors to feel tricked, analysts say. Some firms have
developed software to red-flag suspected spoofing to avoid getting
Government is cracking down
The 2010 Dodd-Frank law
outlawed spoofing. Last year, the U.S. Attorney’s office in Chicago
brought the first criminal case against an alleged spoofer. The
announcement sent a shockwave through the trading community because
traders usually face fines and trading bans, not prison time. Michael
Coscia, the accused spoofer who denies the charges, is facing 12 counts
of fraudulent and manipulative trading. The U.S. Attorney and a lawyer
for Mr. Coscia declined to comment on the case, which is pending.
Lines are blurryOne problem traders and their
lawyers are worried about is whether legitimate market activity could
get swept up in anti-spoofing rules. Since time immemorial, traders have
used techniques to hide their intentions. For instance, a trader on
behalf of a company that needs corn could theoretically start out by
saying he wants to sell rather than buy to avoid other traders catching
on to his plan. Some seasoned traders have gone so far as to defend
spoofing as healthy for markets.
Spoofing can be manual or automatedRecent cases against spoofers
have highlighted the way that some high-frequency traders, who use
computers to send a rapid stream of buy and sell orders into the market,
engage in spoofing. But some investigations by regulators show
point-and-click traders can also allegedly spoof the markets.
It can earn big profits, or deal lossesA seasoned spoofer can earn
tens of thousands of dollars or more in days. But it requires a special
ability to read the market at high speeds and, increasingly, technology
that can help zip in and out of the markets. Spoofers have been known to
lose huge amounts in short periods.101 条评论分享收藏感谢收起上海期货交易所首页
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