我国资本市场程序化交易的风险控制策略.pdfVIP

微观结构 我国资本市场程序化交易的风险控制策略 叶伟 (中国证监会规划发展委员会，北京 100033) 摘要：光大证券“816乌龙指事件”引发我国股票市场巨幅波动，将其自营部门使用的量化投资与程序化交易技术暴露在 普通股民的视野之中。对程序化交易这种新兴的交易方式，究竟是杀鸡儆猴限制其发展还是加强监管避免系统性风险， 成为监管层的一个现实问题。本文提出了基于风险控制的程序化交易的概念，并分为全新的五种类型。基于对国内的程 序化交易现状进行了深入调研的基础上，本文详细地分析了七种风险隐患和可能产生的四种后果。本文建议建立多级风 险控制体系，由交易所和会员相互协作，建立“事前报备、事中监控、事后熔断”机制，应对程序化交易给市场带来的 冲击。同时，修改《证券法》和《期货管理条例》，对程序化异常交易中被交易所熔断技术中止的交易明确处置原则。 关键词：程序化交易；量化投资；风险控制；熔断技术 Abstract: Everbright Securities Company trading error events occurred on August 16, 2013 in Shanghai, sparked huge volatility in Chinese stock market. The quantitative investment and program trading technology used by this company’s proprietary department were also exposed to common Chinese stock investors. How to deal with this emerging program trading method, either restricting its development or strengthening regulation to avoid systemic risk, becomes a practical problem to Chinese securities regulators. This paper presents the concept of program trading on the basis of risk control and divides it into five new types. We analyze seven potential risks and four consequent results based on an in-depth investigation of current program trading status in China. To cope with the market impact of program trading, we propose that we should establish a multi-level risk control system and the pre-filing, real time monitor and post-fuse” mechanism, which builds the mutual cooperation between exchanges and their memberships. At the meantime, we should modify Chinese Securities Law and Regulations on the management of futures, and definite the disposal principle for suspending trading through exchanges’