Shark Attack

狂鲨袭击

 

Why the WallStreetBets crowd are able to profit from predatory trading?

为什么WallStreetBets的徒众能够从掠夺者交易中获利？

 

“There are no loyalties on Wall Street. When you smell blood in the water, you become a shark.” The sentiment – or lack of it – would not look out of place on WallStreetBets, the locus for a new breed of stockmarket hammerheads, which has helped push up the share prices of tech darlings and bombed-out companies to nosebleed levels, crippling professional short-sellers in the process. But the quote comes from a boomer, not a millennial: “Confessions of a Wall Street Addict”, by Jim Cramer, a trader-cum-tv-star. He is describing the remorseless logic of predatory trading.

 

“华尔街没有忠诚可言。一旦嗅到水中血腥味，你就会变成鲨鱼。”这种情绪，无论存在与否，在新型股票市场锤头线发源地Wallstreetbets都不会显得不合时宜，它助推科技行业宠儿和惨遭重挫的公司股价达到瞠目结舌的高位，同时在这过程中令专业的卖空机构损失惨重。但其实这句话出自一个婴儿潮时代出生的人，而非千禧一代：吉姆·克莱默（Jim Cramer），《一个华尔街瘾君子的自白》的作者，交易员兼电视明星。他描述了掠夺者交易的无情逻辑。

 

It is something that is discovered anew by each generation of traders – the dark art of picking off investors who are in distress, for profit. Every big market meltdown is made worse by it. Every melt-up – including the current one – makes prey of those who are brave enough to sell it short. Those schooled in the idea of efficient capital markets will be puzzled by the latest goings-on. The textbooks say this sort of thing cannot happen. They assume there is abundant capital that can be put to work to correct prices that have got out of whack.

 

这是每一代交易员都能够重新发掘的东西，一种狙击陷入困境投资者以获取利润的暗黑艺术。 每一次大型的市场崩溃都因它而更加恶化。每一次的融涨——包括现在这次——都会大肆掠夺敢于卖空的投资者。那些受过有效资本市场理念教育的人将会对最近的一系列事件感到困惑。教科书上说这种事不可能发生。他们假设有充足的资本可以用来纠正已经失控的价格。

 

But in the real world, and in the right conditions, predatory trading is a profitable strategy. Prices can be pushed to extremes before they are pulled back to sensible levels. All it takes are illiquid markets, traders that are bleeding and other traders who can smell the blood.

 

但在现实世界中，在适当的条件下，掠夺者交易是一种有利可图的策略。在价格回落至合理水平之前，价格可能会被推向极端水平。它所需要的只是流动性不足的市场、正在流血的交易者和其他能闻到血腥味的交易者。

 

To understand how this works, picture a world in which there are two types of investor – fast and slow. The slow-money investors are pension funds. They eschew short-term trading. When they enter the market it is in a measured way, to buy and sell when share prices look unduly cheap or dear. The fast-money crowd are hedge funds, which are happy to trade every day. In this world there are only two hedge funds. Each has ten shares in a company. Each share has an expected value of $150 in the long run, but in the short run can trade at any price.

 

要理解这是怎么运作的，想象一下世界里有两种投资者——快的和慢的。慢钱投资者是养老基金。他们回避短期交易，会慎重地进入市场，当股价看起来过度便宜或高昂时才进行买入或卖出。快钱投资人群是对冲基金，他们乐于天天交易。在这一世界中，只有两种对冲基金。每个都持有一家公司的十股股份。每股股份长期价值预计为150美元，但短期内可以以任何价格交易。

 

Say the stock falls to $100 a share – low enough to force one of the hedge funds to rush to sell its entire holding, perhaps because its investors panic. The trouble is the market for the stock is not very liquid. The slow-money crowd will buy two shares per day but the price must get cheaper by $2 a day to induce them to trade. In a world without predatory traders, the distressed hedge fund manages to sell its stock over five days, with the last share going for $90.

 

假设这个股票跌至100美元每股——价格低到足以迫使其中一个对冲基金急于抛售全部持股，这或许是由于该对冲基金的投资者感到了恐慌。问题是股票市场的流动性并不是很好。只有股价每天下跌2美元，才足以引诱慢钱投资人群每天购买两股。在没有掠夺者交易的世界里，苦恼的对冲基金投资者能够在五天里卖光所持股份，最后一股以90美元卖出。

 

But the other hedge fund knows the prey is wounded. So it becomes a predator. It joins in the selling. With only a few buyers, it now takes the distressed seller ten days, rather than five, to get rid of its shares. The final one is sold for $80. The predator is then free to buy back shares at a lower price than he sold them for. He buys the shares as fast as he can, over five days, driving the price to $90.

 

但是其他的对冲基金明白猎物受伤了。因此它成为了掠夺者。它也加入了卖家的行列。由于买家很少，陷入困境的卖家需要十天而不是五天来处理掉自己的股票。最后一股的卖价是80美金。接着掠夺者可任意以低于自己售价的价格购回股票。他以最快速度买下股票，五天之后，将股价推高至90美元。

 

This example is adapted from the model in “Predatory Trading”, a paper by Markus Brunnermeier and Lasse Pedersen published in 2005 in the Journal of Finance. The model elegantly highlights the key features of financial shark attack. Markets must be illiquid (ie, large trades can move prices in the short run). Traders must have limited capacity, meaning they cannot sustain losses beyond a certain point – for regulatory reasons, because of redemptions by investors or because of the psychological pain.

 

这个例子改编自马库斯·布伦内梅（Markus Brunnermeier）和莱斯·佩德森（Lasse Pedersen）在2005年发表在《金融学杂志》的一篇文章“掠夺性交易”里的模型。这个模型精确地强调了金融业鲨鱼袭击的关键要素。市场必须是缺乏流动性的（比如，大宗交易会在短期内引起价格波动）。交易者必须是能力有限，这意味着他们不能承受因为监管原因、投资者赎回、或者心理痛苦导致的超过某个点的损失而割肉。

 

The authors draw out some implications. The more illiquid the market, the more scope for predators to profit: it takes longer for the prey to escape their positions, so the price falls by more. The quicker the distressed trader sells, the fewer losses it makes. Any delay allows the predator to trade ahead of (front-run) the prey. The more predators there are, the less profitable predation is.

 

作者们道出了一些启示。越缺乏流动性的市场，掠夺者获益的空间就越大：猎物要花费更长时间脱手他们的头寸，因此价格下跌更多。陷入困境的交易者卖出越快，损失就会越小。任何一个延迟都会使得掠夺者领先于猎物进行交易。掠夺者越多，掠夺获益就越少。

 

How does the WallStreetBets episode fit this template? The predators are acting in concert, so their strategy may be more effective. Better still, the prey are short-sellers, who bet on stocks falling. They are especially vulnerable: the more the price rises, the more they lose. Their potential losses are unlimited. And their positions are often common knowledge.

 

WallStreetBets的事件如何对应这个模型呢？掠夺者是共同行动的，所以他们的策略可能更有效。更理想的是，猎物是押注股价下跌的做空者。它们尤其脆弱：价格涨得越高，损失就越大。他们的潜在损失是无限的。他们的头寸通常是众所周知的。

 

This is why a lot of hedge funds put their trades through several brokers in an attempt to mask them. Even so, the incentive for brokers to front-run a struggling customer is hard to resist – and not always resisted, as Mr Cramer recounts in his book. “There was something about a dying client that sent these brokers to go to the untapped pay phone downstairs – all brokerage calls are recorded – and tell their buddies.” There really are no loyalties on Wall Street.

 

这就是为什么许多对冲基金通过若干经纪人交易以进行掩盖的原因。即便如此，正如克莱默在他的书中所描述的那样，经纪人抢在苦苦挣扎的客户前超前交易的动机很难抗拒，而且也不总是抗拒。“当出现一个垂死的客户时，这些经纪人会好好开发楼下的付费电话全部的业务电话都被录了音然后告诉他们的伙计。”华尔街的确毫无忠诚可言。

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