B*******n
发帖数: 20645 | 1 Nearly 40 percent of all share orders in Europe are sent by algorithmic
trading computers, up from just 20 percent five years ago, according to the
Tab Group, a capital markets constancy. In the U.S. the figure is 37 percent.
Yet despite the prevalence of these supposedly smart machines, some traders
are making a tidy profit getting the better of these systems, which can make
costly mistakes if they are not set up correctly or if their trading
patterns can be understood.
Send Emil Larsen, a Norwegian day trader, worked out in 2007 how the
computer algorithm of Timber Hill, a unit of US-based Interactive Brokers,
would respond to trades in certain illiquid stocks. The stocks would change
price in a uniform way regardless of how much was bid.
He found that he could bump up the price with very small trades and then
sell with much larger trades for a profit. He was not the only trader who
worked out this flaw, which he called “painfully obvious.” But he still
made $50,000 in a few months. | B*******n
发帖数: 20645 | 2 Charges of market manipulation were brought against him and another trader,
Peddler Vibe, in a high-profile court case where the public came to look on
the duo as heroic Robin Hood figures, beating financial houses at their own
game.
The courts found them not guilty of market manipulation this month,
concluding that they were making the market more efficient by exposing a
flaw in the system.
Meanwhile Mr. Larsen – and others – continue to beat algorithms. A few
months ago he says that UBS failed to set a bottom limit on one of its
trading algorithms and he picked up some stock at a discount. He estimates
he made $14,000 in a few minutes. | B*******n
发帖数: 20645 | 3 It is not just Mr. Larsen getting the better of financial institutions.
Eivind Stolen, a Swedish day trader, says he made several thousand dollars
in seven minutes last year after a Morgan Stanley client algorithm went “
totally haywire” in Atlas Copco and SSAB stock.
He says the computer started buying at the offer price and selling at the
bid, instead of the other way round, and hundreds of people across the world
piled in to take advantage, making a small spread on every trade they
bought and sold straight back. Morgan Stanley [MS 13.76 0.22 (+1.62%)
] was fined for this error on Wednesday.
“Every few weeks an algorithm is going wrong, and there is always someone
making money from it,” says Kjell Jørgensen, associate professor at BI
Norwegian Business School. |
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