算法交易对虚假申报操纵法律认定逻辑的新挑战
发布时间：2019-04-23 09:17
【摘要】：中国执法机构在查处虚假申报操纵案件实践中,构建了一整套判别频繁申报撤单是否存在"不以成交为目的"的分析指标体系,包括订单档位集中于2~5档、反复同价报撤、档位上升后撤单、订单驻留时间短、申报撤单后反向交易等。随着VWAP、TWAP、TPOV、Arrival price等算法交易在中国资本市场的应用,其特殊的算法逻辑在追求更优成交价格的过程中,也伴生了大量申报撤单行为,但是并非不以成交为目的,这对虚假申报操纵的法律认定逻辑提出了新挑战。虚假申报操纵监管法律框架在坚持原有指标体系的同时,可承认某些算法逻辑作为除外抗辩事由,同时对算法交易过于频繁的不合理撤单应予以适当限制。
[Abstract]:In the practice of investigating and handling false declaration and manipulation cases, Chinese law enforcement agencies have constructed a set of analytical index systems to determine whether there is a "non-transaction-oriented" analysis index system for frequent declaration and withdrawal of orders, including order stalls concentrated in 2-5 files and repeated withdrawal at the same price. Stalls rise after withdrawal order, order stay time is short, declare withdrawal order after reverse trading and so on. With the application of VWAP,TWAP,TPOV,Arrival price and other algorithmic transactions in China's capital market, its special algorithmic logic in the pursuit of better transaction price process, also accompanied by a large number of declaration withdrawal behavior, but not for the purpose of transaction. This puts forward a new challenge to the logic of legal cognizance of false declaration manipulation. While persevering in the original index system, the legal framework of false declaration manipulation can recognize some algorithmic logic as the exception defense, and restrict the unreasonable withdrawal of orders that are too frequent in algorithmic transactions at the same time.
【作者单位】： 中国社会科学院研究生院;
【分类号】：D922.287
本文编号：2463330
[Abstract]:In the practice of investigating and handling false declaration and manipulation cases, Chinese law enforcement agencies have constructed a set of analytical index systems to determine whether there is a "non-transaction-oriented" analysis index system for frequent declaration and withdrawal of orders, including order stalls concentrated in 2-5 files and repeated withdrawal at the same price. Stalls rise after withdrawal order, order stay time is short, declare withdrawal order after reverse trading and so on. With the application of VWAP,TWAP,TPOV,Arrival price and other algorithmic transactions in China's capital market, its special algorithmic logic in the pursuit of better transaction price process, also accompanied by a large number of declaration withdrawal behavior, but not for the purpose of transaction. This puts forward a new challenge to the logic of legal cognizance of false declaration manipulation. While persevering in the original index system, the legal framework of false declaration manipulation can recognize some algorithmic logic as the exception defense, and restrict the unreasonable withdrawal of orders that are too frequent in algorithmic transactions at the same time.
【作者单位】： 中国社会科学院研究生院;
【分类号】：D922.287
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