1.
Knight 사고는 미국과 유럽에 적지않은 충격을 준 듯 합니다. CFTC가 나서서 기술회의를 하는 것을 보면 Flash Crash에 버금가는 충격인 듯 합니다. Knight사고를 바라보는 시각이 다양할 수 있지만 ‘위험관리’라는 영역으로 좁혀지는 듯 합니다. 일반적으로 전산적인 사고 혹은 위험은 운영위험(Operation Risk)로 바롭니다. Flash Crash이후 기계화한 알고리즘이 지배하는 시장은 새로운 사고를 요구하고 있습니다. 알고리즘을 사전적으로 검증하자는 논의가 있었습니다. 이의 연장선에서 새로운 개념으로 ‘Technical Risk’를 제기하고 있습니다. 이런 주장을 하는 사람은 Andrew Lo교수입니다. MIT Sloan School of Management의 교수이고 AlphaSimplex Group에서 chief investment strategist으로 있는 분입니다. Lo교수는 Financail Times에 기고한 칼럼에서 다음과 같이 주장합니다. 좀 깁니다만 읽어보시길 바랍니다.
The electronic glitch that cost Knight Capital Group $440m points to a new threat to our digital economy: technological risk.(중략)
Software errors occur in every industry. But the technology-related problems in the financial industry seems to be growing in frequency and severity. More worrisome is the fact that these glitches are affecting parts of the industry that previously had little to do with technology such as initial public offerings. IPOs have been a staple of modern capitalism since the launch of the Dutch East India Company in 1602. How could software errors possibly affect such a basic and well-understood financial transaction? Yet Facebook’s IPO? the most highly anticipated offering in recent memory ? was hobbled by a software error that cost traders more than $100m, according to some estimates.
The financial system has reached a level of complexity that only “power users” highly trained experts with domain-specific knowledge ? are able to manage. But because technological advances have come so quickly and are often adopted so broadly, there are not enough power users to go around. The interconnectedness of financial markets and institutions has created a new form of financial accident: a systemic event that extends beyond the borders of any single organisation. The “Flash Crash” of May 6, 2010, where, for a breathtaking 20-minute interval, the stock price of Accenture, the world’s largest management consulting firm, fell to a penny a share, is a case in point. This occurred not because of any single organisation’s failure but rather as a result of seemingly unrelated and unremarkable activities across different parts of the system. When they occurred simultaneously, a perfect financial storm broke out.
While technology has advanced tremendously in the past century, human cognitive abilities have remained the same, trapped in evolution, as they have done for several millennia. Technology that leverages human activity often magnifies both our positive and negative aspects. A chainsaw allows us to clear woodland brush much faster than a handsaw, but chainsaw accidents cause much more damage than handsaw accidents.
Finance is in need of a technological revolution중에서
그동안 Pre-Trade Risk라는 영역에서 자주 다루었던 이야기들입니다. 그렇지만 정보화가 전사회적으로 이루어지고 다양한 산업이 전자화하여 가면서 기술 자체가 지니는 위험이 과거와 다르기때문에 Technical Risk라는 개념으로 범주화를 하고 있습니다. 현재 기술적 위험에 가장 많이 노출되어 있고 가장 빈번히 사고가 발생하는 부문이 금융산업입니다. 직접적인 비교는 어렵지만 한국자본시장도 예외는 아닐 듯 합니다.
3일 한국거래소에 따르면 지난해 1년 동안 접수된 MTS 및 HTS 관련 전산장애 분쟁건수는 총 594건으로 전년(394건)에 비해 50% 이상 치솟았다. 문제는 전산장애에 따른 피해사실을 고객이 직접 입증해야 하기 때문에 보상을 받기가 쉽지 않다는 점이다.
그러면 기술적 위험을 어떻게 대비하여야 할까요? 앞서 인용한 Andres Lo교수는 다음과 같이 제안합니다.
The solution, of course, is not to forswear financial technology but to develop more advanced technology so advanced that it becomes foolproof and invisible to the human operator. We need a version 2.0 of the financial system, one that recognises the frailties and foibles of homo sapiens by addressing Murphy’s law as thoroughly as it exploits Moore’s law.
기계파괴운동처럼 기술을 부정하는 방법은 아니라고 합니다. 기술로 기술적 위험을 극복하자고 말합니다. ‘foolproof’ 기술로 무장한 기술2.0이 필요하다고 합니다. 과연 무결점 기술은 가능할까요? Wall Street & Technology는 이를 분석하였습니다. Aite Group의 설립자인 Sang Lee와 Rubin Worldwide의 창설자인 Dr. Howard Rubin와 인터뷰하는 형식입니다.
WS&T: Do you think technology can ever be foolproof or do firms just need to factor in technology risk, or operational risk, to a greater extent than before?
Sang Lee: My wife recently dropped a splash of oil while she was cooking and it headed towards her eye. Her eyelid [automatically] closed. She noted that it’s amazing how your body reacts without you doing anything. That’s what technology is for. If you look at the application of technology, it’s taking a human function and automating it. You’re doing it repeatedly and using technology to mimic human function. But it doesn’t mean it’s as seamless as how the human body reacts. Often it takes a lot of code to do a single human act, which by definition is complicated. There is no such thing as a foolproof machine. We’re trying to mimic human function. Human function is not perfect. We break down. Sometimes without reason. And there are always unintended consequences.
Howard Rubin: The issue has to go back to risk reward. What is good enough to manage the risk, consistent with the impact you might have? How do you test to that level, and what does it take to get to the next level? I think engineering of quality of systems becomes key. It’s really examining what “good enough” means. You look at data centers and people go for “six nines” (Ed’s note:99.9999% uptime) availability. Does that mean you’re out no more than thirty seconds a year, or three seconds a year? What happens if there’s a major transaction in those thirty seconds or three seconds? It really doesn’t matter if there’s “six nines” or “five nines” availability. So it’s this very delicate balance between what’s the engineered level of quality, what’s the risk at that level of quality, what’s the cost of taking it to the next level, and the risk reward. If you look at software testing techniques, in some ways they really haven’t evolved since the beginning of software development. So clearly the demand and options we have with technology is growing faster than even software development and/or testing methods. It’s quite a conundrum. We’re getting ahead of ourselves. But the concept of zero defect software has been around in literature for fifty or sixty years. It’s a matter of, at what cost? And that becomes key.
Post-Knight: Can You Really Manage Technology Risk?중에서
Foolproof의 가능성을 인간행동의 불완전성(비합리성)과 경제성의 측면에서 이야기합니다. 쉽게 말하면 “쉽지 않다”는 뜻입니다. 깊이 들어가면 쉽지않은 주제입니다 .
2.
금융중 트레이딩으로 범위를 좁혀보도록 하죠. 트레이딩의 영역에서 기술적 위험에 노출될 수 있는 것은 알고리즘입니다. 여러나라의 감독기관은 알고리즘의 품질(Algorithmic Quality)을 검증하기 위하여 새로운 규제를 시행하고 있습니다.
Last month, Hong Kong’s Securities and Futures Commission issued a proposal that would require trading algorithms to be tested and audited once a year.
On Monday, the Australian Securities and Investments Commission proposed a rule requiring brokers to gain direct control over all algorithm-based trades. Anyone breaking this or other of the country’s newly proposed market integrity rules would face a fine of up to $1.1 million.
Meanwhile, the U.K.’s Financial Services Authority is considering stiffer high-frequency rules around “operational risk issues,” according to Financial News.
Foreign Regulators Take Lead On High-Frequency Trading중에서
나라별 규제정책을 앞서 WS&T의 인터뷰중 H. Rubin의 견해와 연결해 보죠. Rubin은 기술, 품질, 경제성사이의 방정식을 풀어야 시험의 수준을 결정할 수 있다고 하였습니다. 경제성을 고려하면 시험의 수준이 낮아지고 품질을 떨어지고 위험은 커집니다. 시험의 실효성이 나오고 “완전무결한 시험이 스포트웨어공학적으로 가능한가”라는 논의까지 이어집니다.이상의 정책은 사후적으로 알고리즘의 품질을 검증하는 방법입니다.
여기서 발상의 전환을 한 학자들이 있습니다. ISO9000을 알고리즘에 적용하려는 시도입니다. 저는 ISO 9000이 생소합니다. 그래서 찾아보니 “ISO 9000규격은 제품이나 서비스가 무엇이든간에 개념에서 실시까지에 필요한 기본 규칙만을 설정하였으며 제품제조나 서비스 전달을 위한 훌륭한 실천규칙이며 공급자의 제품이나 서비스의 공급 추진방법과 그 능력의 보유여부를 보증”해 주는 인증제도라고 합니다. 소프트웨어도 적용한다고 합니다. HFT에 ISO 9000과 같은 품질관리방법을 적용하여 HFT 9000이라고 부르고 있습니다.
The Rationale for HFT 9000: An ISO 9000-style Quality Management System for High Frequency Trading
Quality Money Management: Process Engineering and Best Practices for Systematic Trading and Investment에서 싹 텄다고 합니다. 향후 자기진단이 가능한 품질관리 점검리스트등을 보급할 계획이라고 하네요.
“Initially we want to provide pointers and checklists for self assessment and self certification, while the governance model sorts itself out. Our initial plan is to organize these practices and get folks using them, while we do the work to get the standard created within the official standards process to provide legitimacy to the work that is going on. Additionally, we believe there is a great deal we can learn from other industry sectors on managing automation,” concludes Northey.
자동매매를 하고 있는 트레이더라면 한번씩 읽어보시길 바랍니다. 이미 미국CME 및 SEC와 CFTC에 제안을 하였다고 합니다. LEI처럼 또하나의 표준이 될 수 있는 시도입니다.
혹 짬이 나시면 아래 글도 함께 참조해주세요.(^^)
