去年9月，查尔斯·佩罗几乎不得不奋力进入纽约联邦储备银行（federalreservebankofnewyork）。“占领华尔街”运动在附近如火如荼地进行，门口的安保异常严密。这座城市的天气和气氛显然是暴风雨。
Perrow had been invited to speak to a hundred senior New York Fed officials as part of the bank’s off-the-record “Listen to Our Critics” series, and he didn’t exactly brighten their day. The 86-year-old Yale University professor emeritus of sociology has written widely about the dangers posed by complex systems, including his 1984 book Normal Accidents: Living with High-Risk Technologies, and he told the Fed audience that technological breakdowns in financial markets had become too commonplace — too “normal” — to be considered aberrations. In particular, he warned about the dangers of unleashing whiplash-fast trading algorithms and abstruse financial products on a “tightly coupled” global financial system.
“在复杂的非线性系统中，不可避免的是，在某个时候，两个或多个故障——也许是琐碎的，个别的——将以一种设计师无法预料、操作员也无法理解的方式相互作用，”他解释道，眯着眼睛在昏暗的楼上看着自己的笔记
ballroom in the Fed’s neo-Renaissance headquarters. “If the system is also tightly coupled, the failures will propagate and cascade through the system, even when everyone tries very hard to play safe.”
Perrow may seem an unlikely market seer, but his theories have won him a following in financial circles. Richard Bookstaber, a former hedge fund risk manager now working in the U.S. Treasury’s Office of Financial Research, drew from Perrow’s notions of normal accidents and tight coupling — and the domino effect of failures cascading through interconnected systems — in A Demon of Our Own Design: Markets, Hedge Funds, and the Perils of Financial Innovation, his 2007 book that presciently laid out the elements of the global crisis that was about to unfold. According to Bookstaber, complexity breeds opacity, which, at best, can make it harder to guarantee orderly markets and, at worst, erect a smokescreen that can ruin transparency and abet fraud. “Each innovation adds layers of complexity [that] cannot be easily disarmed through oversight or regulation,” he says. “As complexity increases, so do the odds of something unanticipated going wrong.”
Against this backdrop, a central question comes to the fore: Can the technology be tamed in a way that ensures safe and efficient markets? Judging by a series of calamities that included the granddaddy of high frequency markets run amok, the May 2010 “flash crash,” the accidents are too normal — and the prognosis is getting worse. Although cognizant of the havoc it has caused, the financial industry is too competitive and innovative to lay down its high-tech arms. And regulators admit that the technologies and trading innovations are advancing too quickly for them to supervise, at least in any traditional sense.
It sounds like a recipe for disaster. But new thinking — on both the trading and the regulatory sides — suggests that technology and systems theory might be applied to inject simplicity into the chaos. No one is under any illusion that the risks will be eliminated, but there is hope for making the accidents less normal.
当然，8月1日的“白痴事件”（white-knuckle events）并不能激发市场信心，那一天，游手好闲的骑士资本集团（Knight Capital Group）软件让纽约证交所陷入了45分钟的混乱，几乎摧毁了这家做市商。所发生的一切完全遵循了Bookstaber对紧密耦合的灾难的描述：“当事情出错时，错误会传播，从头到尾都是联系在一起的，没有紧急停止按钮可以点击。”
Not only was there no brake on Knight’s problem, nobody could see the glitch coming, least of all the regulators. Even as Securities and Exchange Commission chairman Mary Schapiro called the debacle “unacceptable,” she went on to insist, not entirely convincingly, that the U.S. equity market is “the most resilient, efficient and robust in the world.” The SEC has much more on its investigative plate, including the botched Facebook IPO in May. “Do we treat these as isolated incidents or as part of a broader pattern that can be addressed systemically through new rules?” says SEC director of public affairs John Nester. “Those are the types of questions our regulatory staff is asking.”
“没人希望这样的事情发生，”杰米尔·纳扎拉里说，他是奈特电子交易集团（Knight's electronic trading group）的负责人，去年加入价值130亿美元的对冲基金公司Citadel，担任其零售证券部门做市业务主管。他认为8月1日的井喷“非常严重”，并表示怀疑证交会能否跟上市场惊人的技术进步。（纳扎拉利深知一个小小的失误可能带来的后果：他的前任安德鲁·科林斯基（Andrew Kolinsky）在6月份纳斯达克（Nasdaq）Facebook IPO灾难后离开了Citadel，这场灾难导致Citadel和Knight各损失3000万至3500万美元，并在华尔街引发了一系列诉讼。）
一些市场参与者紧盯着哥伦比亚大学社会学家黛安·沃恩（Diane Vaughan）创造的流行语“越轨行为正常化”：小事情出了问题，会像滚雪球一样失控；时间流逝；事件重演。最终这些事件被视为正常情况。沃恩以研究1986年挑战者号航天飞机灾难前发生的事件而闻名，她说，人类特别善于让“有问题的、能干的态度”妨碍人们注意到越来越多的危险。她说：“在这种情况下，通常会有很长的潜伏期的警告信号被曲解或忽视。”。“渐渐地，人类往往会接受越来越多的伤害，并一再向自己保证这是正常的，直到为时已晚。”
Is it already too late for financial markets? The incubation period has been roughly a decade and a half since regulatory changes began transforming equity market structures and computer programmers tailored systems to take advantage of them. This had the effect of fragmenting trading across an increased number of exchanges and alternative venues. The trends accelerated to the point where, as NYSE Euronext CEO Duncan Niederauer noted in May, more than half of the trading in about 1,300 U.S.-listed securities no longer takes place on exchanges.
与其他交易平台一样，交易所已经演变成高科技业务，容易出现运营故障。马克·库班，达拉斯小牛队的老板，靠卖东西发了财广播网1999年雅虎以57亿美元的价格，从技术的角度看待交换业务：“作为一个平台，它和其他任何网络都没有什么不同。任何软件的迭代速度越快、迭代次数越大，失败的次数就越多。”
Over the past five years, high frequency trading, where transaction speeds are measured in microseconds, has come to drive more than 50 percent of U.S. equities volumes. That activity is generated by only 2 percent of the estimated 20,000 hedge funds, brokerages, mutual funds and other market participants in the U.S. equity trading universe, according to market research firm TABB Group.
The same five-year period has seen unprecedented volatility. Before 2007 the Standard & Poor’s 500 index rarely shifted up or down more than 2 percent in a single day; it happened only twice in 2006. There were 72 such breaks in 2008 — a banner year for HFT and the height of the credit crisis — and 35 last year.
纽约一家价值1700万美元的新兴定量对冲基金RebessionResearch的董事长兼首席投资官亚历山大弗莱斯（Alexander Fleiss）表示：“现在比以往任何时候都更不稳定。”。“当时的想法是，有了这些技术，我们将拥有更具流动性和效率的市场。但相反，现在的市场是前所未有的相互关联，更多的人相互追随，更多的机器相互关联。”
高性能技术和分析在投资和交易周期的两个关键阶段占据主导地位：投资组合管理和战略的交易前功能，以及交易执行。如果一家公司的投资策略不到位，通常只有它——也许还有它的客户群——会受到影响。但如果一个交易执行系统出了问题，后果可能是系统性的。
在解决这些问题时，机构投资者、学术界和监管机构正逐渐认识到，尽管技术带亚博赞助欧冠来了种种问题，但它们可能会通过提高透明度和降低复杂性来改善市场运作。
David Mechner, CEO of trading systems developer Pragma Securities, says he believes the next quantum leap may be meshing human traders with their technology to create better trade execution strategies. New York-based Pragma offers institutional investors about a dozen algorithmic tools with built-in logic that let clients take the measure of any number of markets — public exchanges and dark pools — simultaneously, to get the lay of the land before placing trades. The goal is to swoop in largely undetected and exit after nabbing the best price.
“algo市场现在相对成熟，工具也很有名，但工具的选择并不总是很明确，”Mechner补充说，他在日本呆了一年，在纽约大学学习神经生物学之前掌握了军事战略游戏围棋。“我们现在要做的是与投资组合经理和交易台合作，帮助他们更好地决定使用哪些工具以及何时使用。”
摩根大通资产管理公司（J.P.Morgan Asset Management）驻纽约的美国股票交易组负责人本•西尔维斯特（Ben Sylvester）表示，如今的瞬间扑克游戏永远改变了他办公室每年2500亿美元交易的执行方式。没有先进工具的帮助，任何人都看不到市场正在发生什么，而买方已经大踏步地采用这些工具来控制更多用于出让给卖方银行的交易。J、 例如，摩根大通（P.Morgan）部署了可视化工具，使其交易员能够看到实时分析，并跟踪市场中原本不被发现的部分。
“Today liquidity is hidden,” Sylvester observes. “Almost nothing is openly displayed, or it’s fleeting and flickering. We used to react to the market; now the market reacts to us.”
What are the regulators to do? “The SEC should think hard about the market structure it has created and do its utmost to rein it in,” recommends Larry Tabb, founder and CEO of TABB Group. The agency likely cannot slow the market down, he says, but it can impose measures to “reduce price and venue fragmentation.”
The lack of visibility into fragmented markets that change at lightning speed is of particular concern to Bookstaber, who is helping open regulators’ eyes and minds to nontraditional theories that may point toward new, technology-aided solutions.
布克斯塔伯是麻省理工学院经济学博士，曾在摩根士丹利（Morgan Stanley）、所罗门兄弟（Salomon Brothers）和摩尔资本管理公司（Moore Capital Management）担任过各种自营交易员、定量分析师和风险经理，2009年离开华尔街，以高级政策顾问的身份加入美国证交会，并在财政部金融事务办公室工作了一年金融研究。OFR是根据2010年《多德-弗兰克华尔街改革和消费者保护法案》（Dodd-Frank Wall Street Reform and Consumer Protection Act）成立的，是金融稳定监督委员会（Financial Stability supervision Council）的数据汇总和分析部门，该委员会是负责监测系统性风险的超级监管委员会。Bookstaber正在研究，对市场上有影响力的机构的不同行为进行建模是否有助于暴露更广泛的系统性漏洞。
Scientists have used analogous agent-based models to predict or determine the outcomes of events such as traffic jams, stampedes and epidemics. Agent-based modeling’s application to financial markets is in its experimental stages; the logic is that “the market is inhabited by people, heterogeneous and context-sensitive, who do not live up to the lofty assumptions of mathematical optimization and Aristotelian logic that underlie these approaches — and do not do so for good reasons,” Bookstaber noted in A Demon of Our Own Design. “The nature of complexity also is different in the economic realm from that in physical systems because it can stem from people gaming, from changing the rules and assumptions of the system.”
The regulators and the regulated alike are in pursuit of antidotes to opacity and complexity.
“All things being equal, we like a strategy to be simple. If something has to be very complicated, we really do need to have a very good reason to pursue that,” states Matthew Beddall, chief investment officer of Winton Capital Management, a $29 billion systematic macro fund based in London.
总部位于康涅狄格州格林威治的AQR资本管理公司（AQR Capital Management）首席风险官亚伦•布朗（alaron Brown）也同意这一观点：“我预计，风险管理领域的大多数进展都涉及到更复杂的simple，强大的技术，而不是华丽的数学，”他说。AQR计算了数百万条概率路径，以研究极不可能的事件组合。布朗解释说：“这会给你更细致的答案。”。“我预计，在不远的将来，我们将处理数十亿条路径。我们现在看到的很多事情都涉及到获取更好的数据和运行概率。并不是所有的改进都需要新的理论——我们可以用更强大的处理能力从现有的理论中得到更多的东西。”
今天的现实是，曾经为交易提供脑力的人类现在正在为从事这项工作的计算机设定参数。这很难将人类排除在外，他们甚至可能最终贡献出一些矫正剂。
“Sadly, the computers we buy don’t come with a money-generating algorithm,” notes Winton’s Beddall. “You can dream up a wild science fiction scenario where the computers go mad and humans get kicked out, but it all comes down to humans doing the hard work and analysis. The inputs come from them. You need computers as a tool, but we are systematic traders and we make the decisions.”
对数百万种交易可能性进行分类需要数据的完美无缺，这也需要人力。AQR负责人兼投资组合经理MichaelMendelson说：“如果你有两倍的数据，你就必须花更多的时间来检查。”。
事实上，信息过载可能是绊脚石之一。据ibmcorp.估计，全球范围内90%以上的数据都不到两年，其中大部分都是非结构化的，每天都会产生25亿字节的新数据。贝德尔说：“我们正处于一场大数据革命中，对于获取高质量的数据，我们真的是迫不及待。”。
数据质量问题只会增加交易游戏的风险。新泽西州查塔姆市Themis Trading的共同所有者Joseph Saluzzi和Sal Arnuk说，一个明显的信息上层阶级和下层阶级已经在发展，在交易所和经纪商是否应被允许向选定客户泄露私人投资者订单流信息的争论中处于领先地位的机构经纪公司。萨鲁齐和阿努克在今年春天合著的《破碎的市场：华尔街的高频交易和掠夺性做法如何摧毁投资者信心和你的投资组合》一书中，对出售个人私人数据的道德提出了质疑：“如果Visa/MasterCard出售了你购买的信息，这可以吗？”
Beddall说温顿提供了一个私人data feed showing live U.S. credit card sales. The firm, which derives 70 percent of its investment ideas from tick-by-tick market data and 30 percent from unique proprietary data sets, has been pitched other unusual information products. “People are putting devices in the cabs of tractors so we can see how crops are doing before the U.S. Department of Agriculture’s reports come out,” he explains. Beddall says he usually turns away salespeople hawking “sexy new data sets. We need at least five to ten years of historical data to put it into context.”
虽然性感的数据集和蛮力都很好，但IBM正在研究大数据分析的下一个重大飞跃：将其沃森人工智能技术（Watson artificial intelligence technology）应用到华尔街。沃森人工智能以击败两位游戏节目《危险》（Jeopardy）的人类冠军而闻名。据花旗集团（Citigroup）称，IBM今年3月与花旗集团（Citigroup）签署了一项协议，探讨如何利用沃森的模式识别功能“识别机遇、评估风险，并探索最适合客户的替代行动”。IBM Watson Solutions全球业务开发总监Robert Jewell表示：“分析是竞争性投资和银行业务的新核心。”。“我们知道我们的方向，但所有的答案还不知道。我们只是处于大规模过渡的早期阶段。”
IBM将提供一个版本的Watson，它不仅可以处理大量的数据，例如收入发布或电话会议，还可以利用用户的知识进行“机器学习”。“你用得越多，它就越有价值，”杰威尔说。
Something even IBM has yet to attempt is the creation of a machine that can select hedge fund investments using artificial intelligence. Such has been the labor of Rebellion Research, a fund that launched in January 2007 with a dishwasher-sized supercomputer nicknamed “Star.” Capable of 5 million calculations a second, Star shoots out investment picks every morning to a troop of 20-something Ivy League quants and math whizzes, who adjust the firm’s global equities portfolio accordingly.
尽管他相信超级计算机的力量，Rebellion的Fleiss认为，机器的任何市场接管，从本质上讲，都会邀请人类重新进入：“我相信，你永远不可能有一个机器主导的市场，因为每当人们的反应过度时，总会有一个人进来说，‘这是一个问题。’太荒谬了，没有理由在这个水平上交易——我要买这只股票！’” • •