【英语财经】用科技监管华尔街? SEC: With the program

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2014-5-22 06:37

小艾摘要: Garrett Bauer had been on the radar of securities regulators for years. The stock trader made big profits by betting on dozens of corporate take- overs but investigators could not figure out where he ...
SEC: With the program
Garrett Bauer had been on the radar of securities regulators for years. The stock trader made big profits by betting on dozens of corporate take- overs but investigators could not figure out where he came by such reliable and accurate information.

Using a fairly crude computer program that analysed billions of trades collected over 25 years, investigators at the US Securities and Exchange Commission started running queries to find out who else traded the same stocks. A name came up: Kenneth Robinson, a stock and mortgage broker. The trading suggested the men knew each other but investigators could not prove illegal activity.

Finally in 2009, a breakthrough for the SEC led to Federal Bureau of Investigation agents knocking at Mr Robinson’s door. That year, he had bought shares in 3Com just before it was acquired by Hewlett-Packard. It was the only time both men had traded in advance of a deal where Wilson Sonsini Goodrich & Rosati, a law firm, acted as an adviser.

The trade confirmed the SEC’s suspicion that the two men were working together. After agents persuaded him to co-operate, both pleaded guilty along with Matthew Kluger, a senior associate at Wilson Sonsini who linked the men together. In 2011, at that time the biggest ever insider trading case, they admitted operating a $37m scheme that lasted 17 years.

The SEC caught the men by switching to a sophisticated, technology-based strategy that allowed them to focus on the traders themselves rather than following the movement of the stocks. Known as parallel trading, the tactic is one of several tech-focused methods the SEC is deploying to keep pace with high-speed traders and fast-growing markets.

As Wall Street pours billions into high-speed trading platforms – along with big salaries for top software developers – the question is whether regulators can keep up. Mary Jo White, SEC chairman, insists it can.

“This is not your father’s SEC – or your mother’s or even your older brother or sister’s,” Ms White told regulators and industry officials in January on the first anniversary of her nomination to be the US’s top securities regulator. “In this rapidly changing environment, we must stay on top of advances in technology.”

The SEC’s struggle to keep pace with the well-funded securities industry is not new. But Ms White inherited an agency still recovering from a particularly low period, marked by embarrassing failures to detect fraud and other wrongdoing in the run-up to the financial crisis.

In 2008, the SEC was faulted for missing numerous red flags that could have exposed Bernard Madoff’s Ponzi scheme much earlier. The convicted fraudster sent account statements with suspiciously consistent returns to investors while markets gyrated.

The most attention the agency received for its tech-savvy ways was an embarrassing one: 31 employees were criticised by its own inspector- general for watching porn at their office PCs during the financial crisis.

In 2009 the budget for investments in new technology fell to half of what it was in 2005. The following year, the SEC was caught flat-footed during the “flash crash” when the stock market fell more than 700 points in minutes. It took nearly six months for staff to trace the trades to determine what went wrong, taxing the agency’s aged computers and shaking investor confidence in the markets.

Since then, the SEC has hired quantitative analysts, built new products and partnered with external data providers and software groups to speed up investigations. It has also passed rules to collect more trading data that it can plug into these systems for deeper analysis. Congress allocated a $50m fund geared for technology spending.

The SEC is launching a multi-pronged approach involving a vital new tool for its examinations programme, which conducts routine checks on hedge funds, brokers and exchanges. The national exam analytics tool, known as Neat, analyses very large volumes of trading by hedge funds against the broader market to identify insider trading and the front-running of stocks.

Another analytical tool developed by the SEC’s chief economist will look for outliers in financial statements, or unusual trends such as changes in auditors, to detect accounting fraud.

The hub of the makeover is the SEC’s enforcement division. “We are developing very advanced systems to detect insider trading,” says Andrew Ceresney, director of enforcement at the SEC. “They will allow us to see patterns of traders trading in unison.”

Mr Ceresney is part of Ms White’s strategy of targeted recruitment, hired from Debevoise & Plimpton, a law firm where Ms White was a partner and his former supervisor when they were both federal prosecutors.

Two pioneers developing the “parallel trading” approach to investigations were Dan Hawke and Sanjay Wadhwa, who in 2007 investigated insider trading. Mr Hawke, a 15-year veteran of the agency, comes from a regulatory family: his father, John Hawke, is a former Comptroller of the Currency, who was also an undersecretary of the US Treasury and former general counsel to the Board of Governors of the Federal Reserve System.

Mr Wadhwa emigrated with his family from India to the US as a teenager. He joined the SEC in 2003 after working as a tax attorney. Mr Hawke is more tech-minded while Mr Wadhwa’s desk is covered in stacks of papers and sticky notes.

“We began to see an uptick in the number of cases involving licensed securities industry professionals,” Mr Hawke says. By flipping the investigative focus to people instead of stocks that “opened up the possibility of making connections between traders across multiple securities”.

With a shoestring budget, staffers built an Excel spreadsheet that pooled billions of trades collected from old investigations via “blue sheets” into one big database. The SEC devised algorithms to sift through that data and “in a matter of hours matched billions of trading records to see what kinds of patterns emerged. That was an epiphany,” says Mr Hawke.

The unit has recently hired nine specialists who have designed more sophisticated ways to search the data sets. “If you had asked somebody four years ago what is the relationship between the skills of a quant and the way we conduct law enforcement investigations into securities trading, we could find no template in the federal government. We had to basically invent it,” he says.

After the technology provides the leads, the SEC scours phone and bank records and works backwards from there. “You still need a lot of hard work to make the case, but it makes it quicker and easier,” adds Mr Ceresney. The system, he says, was cumbersome and ran on an antiquated version of Windows software.

A more sophisticated version expected to be rolled out this year will identify “heat maps” and eventually, he hopes, pull information from social media websites to identify connections. The regulator’s newest weapon comes from its Quantitative Analytics Unit, led by Erozan Kurtas, who was recruited in 2010. Mr Kurtas has a PhD in electrical and computer engineering and owns 20 patents on algorithms and statistical techniques.

In a recent examination the SEC said that in a few hours Neat analysed 17m transactions by one investment adviser. The program is still new but SEC attorneys say that over 36 hours it will be able to examine all the trades made by a hedge fund manager in one year and make comparisons against broader market data. For example, officials say the SEC could run the program to detect any aberrations, such as how many times a stock traded by the manager rose or fell by 10 per cent over a week.

If the hedge fund manager bought at $10 and sold at $9.50, it may not stand out to the human eye as suspicious. But with the new system the SEC will be able to see that the stock later fell to $5, giving the hedge fund manager who anticipated negative news the chance to avoid a big loss.

Ms White said “examiners will be using the Neat analytics to identify signs not only of possible insider trading but also front-running, window-dressing, improper allocations of investment opportunities and other kinds of misconduct”. It could be expanded to brokers to identify excessive fees, one former official said.

Other initiatives include an “accounting quality model”, which staff can use to mine annual reports and other financial disclosure forms for red flags that could indicate accounting fraud.

The agency is also institutionalising an “aberrational performance” initiative started in 2010. The aim is to identify hedge funds that do better than their peers or make steady returns even in down markets. Eight cases have been brought so far.

The SEC is paying for some sophisticated external software. It is piloting a project with Palantir, the software company backed by the Central Intelligence Agency, to further foreign bribery investigations and the parallel trading initiative.

Mr Ceresney says it has identified links by accessing multiple data sources. For example, it can match stock trades made one day with money transfers executed three days later. “It’s not stuff we couldn’t have done before. It would have taken weeks and now it takes minutes.”

The SEC is betting the new programs will make it smarter in policing the markets and deploying its investigators.

Much effort has been put into reshaping the image of the SEC as a modern tech-savvy agency. But current and former officials caution that while the new technology will speed up investigations it is not a panacea. Old-fashioned legwork is still paramount.

Some former SEC officials say that as well intentioned as the initiatives are there are doubts about their effectiveness. Others suggest the current efforts will be limited until the real-time surveillance system, which was designed in the aftermath of the flash crash, is implemented. The system has been delayed until 2016.

“Everything they’re doing now is meaningful but it’s time-intensive and has limitations. Until the data are granular, complete and clock-synchronised, the SEC will have challenges in this complex market with nanosecond trading, in figuring out whether there is an unfair playing field,” says Thomas Sporkin, a former SEC enforcement attorney. “It will be great to see what they can do in 2016 when they get the data.”

Regulators also have to contend with the political flows of Washington and its effect on hiring and operations. In January, two weeks before Ms White addressed the California crowd, Congress approved $1.35bn for the securities watchdog, about $324m less than it requested. It halved the reserve fund, the purse for multiyear technology projects, to $25m.

“One of the dangers for the SEC historically – because of the budget volatility and uncertainty – is that it’s either feast or famine on technology projects,” says Mary Schapiro, a former SEC chairman.

“Technology really requires concerted, consistent spending to make sure systems stay up to date as well as developing new tools when they’re needed.”

加勒特?鲍尔(Garrett Bauer)进入证券监管机构的视野已有好几年时间了。这名股票交易员通过押注数十笔企业并购交易赚取了巨额利润,但调查人员无法查明他是从哪里得到如此可靠而又准确的信息的。

美国证交会(SEC)的调查人员采用一个较为原始的计算机程序对过去25年来收集的数十亿笔交易记录进行分析,并在此基础上展开查询,以找出还有哪些人交易过与鲍尔相同的股票。结果一个名字浮出了水面:肯尼思?罗宾逊(Kenneth Robinson),他是一名股票和抵押贷款经纪人。罗宾逊和鲍尔的交易记录表明,两人互相认识,但调查人员并未找到两人从事非法活动的证据。

终于在2009年,SEC取得的一项突破让联邦调查局(FBI)的探员们敲响了罗宾逊的家门。那一年,罗宾逊在3Com公司被惠普(Hewlett-Packard)收购前夕买入了前者的股票。这是罗宾逊和鲍尔两人仅有的一次双双在并购交易公布前买入相关公司股票,而担任此次交易的顾问是威尔逊-松西尼-古德里奇-罗萨蒂律所(Wilson Sonsini Goodrich & Rosati)。

此次交易证实了SEC关于两人有所勾结的猜测。在经探员劝说配合调查之后,两人均承认有罪,并供出了马修?克鲁格(Matthew Kluger)。克鲁格是威尔逊-松西尼的高级律师,正是在他的牵线下,罗宾逊和鲍尔才勾结在一起。2011年,他们承认在持续17年的时间里运作了一连串内幕交易,金额高达3700万美元,这是截止当时规模最大的内幕交易案。

SEC抓住这些人靠的是一种复杂的、基于技术的策略,这让监管当局能够将注意力集中在交易员身上,而非跟踪股票走势。这种策略被称为平行交易,是SEC为了跟上高频交易员和日新月异的市场的步伐,正在采用的以技术为核心的数种方法之一。

随着华尔街投入数十亿美元资金开发高速交易平台——顶级软件开发商也因此获得了丰厚报酬——问题的关键在于监管当局能否跟上这一趋势。SEC主席玛丽?乔?怀特(Mary Jo White,见右图)对此给出了肯定的回答。

今年1月,怀特在被提名为美国SEC主席刚满一年之际,对监管人员和行业官员们表示:“现在的SEC已经和你们的父母亲、甚至你们的哥哥姐姐时代的SEC不一样了。在这个快速变化的环境里,我们必须站在科技进步的最前沿。”

SEC努力跟上资金雄厚的证券行业的发展步伐并不是什么新鲜事。但怀特接管的这个机构仍处于极度低迷后的恢复阶段——SEC在金融危机爆发前夕未能察觉出市场中存在的欺诈以及其他违规行为,这种失察令其颜面大失。

2008年,SEC由于未能注意到多个本可以更早揭穿伯纳德?马多夫(Bernard Madoff)庞氏骗局的警示信号而受到批评。马多夫如今已经被判犯有欺诈罪,他在市场剧烈波动时期提交的账户报告仍然保持着可疑的和过去一致的收益率。

SEC曾因“技术很在行”而引起广泛关注,但这一事件却令其颇为难堪:SEC的31名雇员受到了本机构总监察长的批评,因为他们在金融危机期间用自己的办公电脑看色情片。

2009年,SEC投资于新技术的预算规模降至2005年的一半。一年之后,SEC面对突如其来的“闪电暴跌”(flash crash)手足无措,当时股市在短短几分钟之内下挫了700多点。为了判断究竟是哪里出了问题,SEC的职员花了近六个月的时间才完成了交易追溯。此次调查让该机构陈旧的电脑配置承受了极大的压力,也动摇了投资者对市场的信心。

自那以后,SEC聘请了量化分析师,打造了新系统,并与外部数据提供商和软件公司合作以加快调查进度。SEC还通过了新规则以收集更多的交易数据,并将这些数据导入新系统进行更深入的分析。美国国会向SEC拨款5000万美元,专门用于技术方面的支出。

SEC会对对冲基金、经纪机构以及交易所进行日常例行检查,它正在推出一项多管齐下的新举措,其中包括一种对其检查项目至关重要的新工具。这款名为Neat的全国性检查分析工具能够比照整体市场形势,对对冲基金的海量交易数据进行分析,以找出股票交易中的内幕交易和“抢先交易”(front running)。

另一款由SEC首席经济学家开发的分析工具则主要搜寻财务报告中的异常数值,或者审计机构变更等反常现象,以发现会计欺诈行为。

改革的核心是SEC的执法部门。该部门主管安德鲁?塞雷斯尼(Andrew Ceresney)表示:“我们正在开发非常先进的系统以侦查内幕交易。这些系统将让我们发现交易员协同交易的模式。”

怀特制定了定向人才招募战略,塞雷斯尼就是她根据该战略从德普律所(Debevoise & Plimpton)挖过来的。怀特曾是德普律所的合伙人,而当怀特和塞雷斯尼都担任联邦检察官时,怀特还曾是塞雷斯尼的上级主管。

开发出“平行交易”调查方法的两位开拓者是,曾于2007年调查内幕交易的丹?霍克(Dan Hawke)和贾伊?瓦德瓦(Sanjay Wadhwa)。霍克是一位在SEC工作达15年之久的资深人士,来自金融监管世家:他的父亲约翰?霍克(John Hawke)曾任货币监理官,并曾担任美国财政部副部长以及美联储理事会总顾问。

瓦德瓦在少年时期和家人一起从印度移民美国。他于2003年加入SEC,此前曾担任税务律师。霍克的技术意识更强,而瓦德瓦的办公桌上则总是堆满了成摞的报告和便利贴。

霍克表示:“我们逐渐发现,涉及有执业证书的证券行业专业人士的案件数量有所上升。”通过将调查重点从股票转移到从业人员身上,“开启了发现不同证券领域的交易员彼此勾结的可能性”。

靠着少得可怜的预算资金,SEC的职员编制了一张Excel电子表格,通过“蓝页”(blue sheets)将以往调查收集到的数十亿条交易记录汇聚起来,然后放入一个大型数据库。SEC设计了算法对这些数据进行筛选。霍克表示,这种方法“能在几个小时之内比对数十亿条交易记录,以便发现什么样的交易模式会浮出水面,这简直就像上帝显灵”。

该小组最近聘请了9位专业人士,他们设计了更加复杂的方式来搜索数据集。霍克称:“如果你在四年前问人们,数据分析员的技术水平和我们对证券交易进行执法调查的方式之间有什么关系,我们在联邦政府内部找不到任何样板。我们必须从头开始创造这种关系。”

在通过技术手段得到线索之后,SEC彻查了电话和银行交易记录,并以此为基础展开逆向调查。塞雷斯尼表示:“你仍然需要大量艰苦工作才能找到案件的关键证据,但技术使得这一过程耗时缩短、难度降低。”他说,这套系统曾经非常笨重,而且是在一个版本已经过时的Windows软件的基础上运行。

一个有望于今年推出的更复杂的版本将能识别出“热度图”,而塞雷斯尼希望,这套系统最终能够从社交媒体网站中抽取信息,进而识别个体之间的联系。SEC的最新武器来自其量化分析小组(Quantitative Analytics Unit),该小组由2010年加入SEC的埃罗赞?柯塔斯(Erozan Kurtas)领导。柯塔斯是电气与计算机工程领域的博士,并拥有20项有关算法和统计技术的专利。

SEC在一项近期的检查中表示,Neat系统在几个小时的时间里分析了一家投资顾问机构的1700万笔交易记录。虽然该软件仍有待完善,但SEC的律师表示,它将能够在36个小时之内检查一家对冲基金管理机构一年之内的所有交易,并与市场整体数据进行对比。官员们指出,SEC可以通过运行该软件侦查任何异常现象,例如查看这家机构交易的某只股票在一周之内有多少次涨跌幅度超过10%。

如果对冲基金经理在10美元的价位买入,在9.5美元的价位卖出,这在普通人看来或许不会显得可疑。但借助这一新系统,SEC将能看到这只股票后来跌至了每股5美元——预见到负面消息的对冲基金经理其实避免了重大损失。

怀特表示,“检查人员将不仅能够通过Neat分析软件发现潜在内幕交易的迹象,还能发现包括抢先交易、粉饰业绩、投资机会配置不当以及其他种类违规操作的迹象”。一位前SEC官员表示,该系统还将拓展至经纪机构,以发现过度收取手续费的问题。

SEC的其他计划包括“会计质量模型”——监管人员可以运用该模型挖掘企业年报以及其他财务报告中的数据,从中寻找揭示可能存在财务欺诈的警示信号。

SEC还将始于2010年的“异常表现”项目作为一项制度确定下来。该计划旨在找出那些表现优于同行或者即使在市场下行阶段仍能实现稳健收益的对冲基金。到目前为止SEC已经通过该项目挖出了8起案件。

SEC还投入资金在外部开发一些复杂的软件。该机构正在和软件公司Palantir试验开发一个项目,以进一步推进海外贿赂调查和平行交易计划。Palantir为美国中央情报局(CIA)提供技术支持。

塞雷斯尼表示,该项目已通过访问多个数据源发现了可疑交易。例如,该项目能将一天之内进行的股票交易与三天之后执行的资金划转匹配起来。“我们以前并不是完成不了这样的任务。但以前我们需要花费数周时间,而现在则只需要几分钟。”

SEC认为,这些新项目将使其在市场监管以及执行调查的过程中变得更加智能。

SEC付出大量努力以便将自己重新塑造为一个技术型的现代机构。但SEC的现任和前任官员都警告称,虽然新技术能够加快调查进度,但它并不是万能灵药。老式的走访调查仍然至关重要。

SEC的一些前任官员指出,虽然这些计划的出发点是好的,但其有效性仍然值得怀疑。其他人则表示,在实时监控系统投入应用以前,现阶段所能做的努力将较为有限。实时监控系统在“闪电暴跌”事件发生后就已开始设计,但其应用一直被推迟到2016年。

曾任SEC执法律师的托马斯?斯波金(Thomas Sporkin)表示:“他们现在所做的每一件事都有意义,但很耗费时间,而且也有局限性。在数据具备粒状结构、完整性以及同步性等特性以前,SEC在这个充斥着纳秒高频交易的复杂市场当中仍将面临挑战,同时也很难判断市场中是否存在不公平交易。我真希望看看2016年SEC具备了数据条件之后所能做到的事情。”

监管机构还得应对华盛顿的政治风向,以及这种风向对于人员招聘和日常运作所产生的影响。今年1月,在怀特对加州民众发表演讲的两周前,美国国会批准向SEC拨款13.5亿美元,比其要求的金额少了3.24亿美元。SEC被迫将储备基金的规模缩小一半至2500万美元,该基金为多年度的技术项目提供资金。

SEC前任主席玛丽?夏皮罗(Mary Schapiro)表示:“SEC一直以来面临的一大风险是,用于技术项目的资金要么过剩,要么严重不足——这主要是受到预算波动性和不确定性的影响。”

“技术开发确实需要协调一致的持续投入,以确保监管系统跟上最新形势发展,以及在必要时候开发新工具。”

译者/马拉

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