2010-10-03 03:06:28frank
美股「閃電暴跌」 是交易軟體惹的禍
今年五月初(5/6)，道瓊工業指數在短時間內暴跌近 1000 點，在經歷了近五個月的調查，終於有了結果。道瓊工業指數在短時間內暴跌近 1000 點幾乎是全球所有媒體財經新聞的頭條，但真相揭曉的新聞卻很不起眼。
原因是找到了，但是報告中卻沒有提及任何的解決或改善之道。那麼多的基金，需要很多短時間大量交易，看來真的要解決也很難。
related articles in this blog:
美國政府正在調紐約股市大跌千點的原因
真相大白！官方報告指美股「閃電暴跌」 都怪交易軟體
2010-10-02 06:05:24 鉅亨網編譯張正芊 綜合外電
美國證券交易委員會 (SEC) 及商品期貨交易委員會 (CFTC) 周五 (1 日) 公佈今年 5 月 6 日美股「閃電暴跌」正式調查報告，指事件肇因於一大型法人使用自動交易軟體從事股票期貨合約買賣，而出現問題。
兩機構在這份 104 頁的報告中，指出「某家重要大型投資人」使用一種交易運算法機制，從事稱為 E-Minis 的期貨合約賣出。交易員使用這種機制，來下注美股標準普爾 500 指數 (S&P 500) 成分股的未來表現。
報告表示，這類合約通常以快速度大量賣出，而當日美股已因歐洲主權債信憂慮籠罩，而限於沉重壓力。一開始大量賣單的確被「高頻交易員」及其他買家吸收，但該演算法機制一遇到交易量增加，便同時增加 E-Mini 的賣單。
報告指出，接下來出現的狀況，可形容為二方面的流動性危機：一方面是 E-Mini期貨合約中的大盤指數，另一方面則反映在個股。換句話說，一旦缺乏買家遞補，加上 E-Mini 期貨合約賣單迅速出籠，便開始拉低個股及大盤股指。
結果眾人已知：道瓊工業指數在短時間內暴跌近 1000 點，整體市值瞬間蒸發 1 兆美元，所幸稍後回到崩跌前水準，收盤跌幅顯著縮小。但也因此創下道指史上單日最大跌幅紀錄。
儘管兩機構在報告中，並未說明是哪家法人「涉案」，但美國媒體廣泛報導，涉事機構為資產管理及金融規劃公司 Waddell & Reed。
此外，今日報告也為提供任何明確的政策建議，以阻止美股再度出現這類「閃電崩跌」意外。
Report to Say Waddell Stoked Flash Crash: Source
By REUTERS
Published: September 30, 2010
Filed at 6:47 p.m. ET
WASHINGTON/NEW YORK (Reuters) - A single trade by Waddell & Reed Financial Inc helped spark the cascade of market selling on May 6, said a source familiar with regulators' report on the so-called flash crash.
Waddell, which sold a large order of e-mini futures contracts during the plunge, will not be named in the report, according to the source, who requested anonymity because report has not been made public.
But the report will describe Waddell's trade as a single trade by an entity, the source said.
The May 6 crash sent the Dow Jones industrial average down some 700 points in a matter of minutes before sharply recovering -- an unprecedented breakdown that exposed deep flaws in the electronic marketplace now dominated by high-frequency trading.
Citing an internal exchange document, Reuters on May 14 reported that Waddell & Reed sold a large order of e-minis during the plunge -- identifying the firm that CFTC Chairman Gary Gensler had previously alluded to in congressional testimony.
The Securities and Exchange Commission and Commodity Futures Trading Commission had been expected to release the much anticipated report before October.
But the report must win approval from the majority of the 10 SEC and CFTC commissioners. It is not clear whether all commissioners have had a chance to review the report with two of the SEC commissioners traveling.
Also the CFTC must clear some procedural hurdles so that they are allowed to release information about an investigation.
Top Democratic lawmakers will ask the SEC and CFTC for a copy of the report so that Congress can publicize the findings, a second source familiar with the matter said.
Senate Banking Committee Chairman Christopher Dodd and House Financial Services Committee Chairman Barney Frank will send such letters to the SEC and the CFTC later on Thursday, the source said.
(Editing by Gary Hill)
http://www.nytimes.com/reuters/2010/09/30/business/business-us-flashcrash-congress.html
The stories were taken from 鉅亨網 & The New York Times, which were not involved with nor endorsed the production of this blog. The copyright remain with their original owners.
原因是找到了，但是報告中卻沒有提及任何的解決或改善之道。那麼多的基金，需要很多短時間大量交易，看來真的要解決也很難。
related articles in this blog:
美國政府正在調紐約股市大跌千點的原因
真相大白！官方報告指美股「閃電暴跌」 都怪交易軟體
2010-10-02 06:05:24 鉅亨網編譯張正芊 綜合外電
美國證券交易委員會 (SEC) 及商品期貨交易委員會 (CFTC) 周五 (1 日) 公佈今年 5 月 6 日美股「閃電暴跌」正式調查報告，指事件肇因於一大型法人使用自動交易軟體從事股票期貨合約買賣，而出現問題。
兩機構在這份 104 頁的報告中，指出「某家重要大型投資人」使用一種交易運算法機制，從事稱為 E-Minis 的期貨合約賣出。交易員使用這種機制，來下注美股標準普爾 500 指數 (S&P 500) 成分股的未來表現。
報告表示，這類合約通常以快速度大量賣出，而當日美股已因歐洲主權債信憂慮籠罩，而限於沉重壓力。一開始大量賣單的確被「高頻交易員」及其他買家吸收，但該演算法機制一遇到交易量增加，便同時增加 E-Mini 的賣單。
報告指出，接下來出現的狀況，可形容為二方面的流動性危機：一方面是 E-Mini期貨合約中的大盤指數，另一方面則反映在個股。換句話說，一旦缺乏買家遞補，加上 E-Mini 期貨合約賣單迅速出籠，便開始拉低個股及大盤股指。
結果眾人已知：道瓊工業指數在短時間內暴跌近 1000 點，整體市值瞬間蒸發 1 兆美元，所幸稍後回到崩跌前水準，收盤跌幅顯著縮小。但也因此創下道指史上單日最大跌幅紀錄。
儘管兩機構在報告中，並未說明是哪家法人「涉案」，但美國媒體廣泛報導，涉事機構為資產管理及金融規劃公司 Waddell & Reed。
此外，今日報告也為提供任何明確的政策建議，以阻止美股再度出現這類「閃電崩跌」意外。
Report to Say Waddell Stoked Flash Crash: Source
By REUTERS
Published: September 30, 2010
Filed at 6:47 p.m. ET
WASHINGTON/NEW YORK (Reuters) - A single trade by Waddell & Reed Financial Inc helped spark the cascade of market selling on May 6, said a source familiar with regulators' report on the so-called flash crash.
Waddell, which sold a large order of e-mini futures contracts during the plunge, will not be named in the report, according to the source, who requested anonymity because report has not been made public.
But the report will describe Waddell's trade as a single trade by an entity, the source said.
The May 6 crash sent the Dow Jones industrial average down some 700 points in a matter of minutes before sharply recovering -- an unprecedented breakdown that exposed deep flaws in the electronic marketplace now dominated by high-frequency trading.
Citing an internal exchange document, Reuters on May 14 reported that Waddell & Reed sold a large order of e-minis during the plunge -- identifying the firm that CFTC Chairman Gary Gensler had previously alluded to in congressional testimony.
The Securities and Exchange Commission and Commodity Futures Trading Commission had been expected to release the much anticipated report before October.
But the report must win approval from the majority of the 10 SEC and CFTC commissioners. It is not clear whether all commissioners have had a chance to review the report with two of the SEC commissioners traveling.
Also the CFTC must clear some procedural hurdles so that they are allowed to release information about an investigation.
Top Democratic lawmakers will ask the SEC and CFTC for a copy of the report so that Congress can publicize the findings, a second source familiar with the matter said.
Senate Banking Committee Chairman Christopher Dodd and House Financial Services Committee Chairman Barney Frank will send such letters to the SEC and the CFTC later on Thursday, the source said.
(Editing by Gary Hill)
http://www.nytimes.com/reuters/2010/09/30/business/business-us-flashcrash-congress.html
The stories were taken from 鉅亨網 & The New York Times, which were not involved with nor endorsed the production of this blog. The copyright remain with their original owners.
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