What if you could see the prices of the stocks you're following only once a day, but other investors following the same stocks could see the prices as they changed?

    That, in broad strokes, was the situation from 2007 (when the Securities Exchange Commission created a national market system) until last Monday, Dec. 9, when NASDAQ and the NYSE began reporting small trades of less than 100 shares to the "consolidated tape" -- the stream of prices visible to the public.

    That might seem like a minor change, and for most stocks it probably is. Although trade in so-called "odd lots" has increased five fold in the past 20 years, according to Reuters, it still only accounts for 5% of total U.S. equity volume.

    But for a high-priced stock like Apple (AAPL), which was selling in lots of 100 for more than $56,000 Monday, odd lots are a very big deal. Most investors can't afford to drop $56,000 in a single trade. According Nanex CEO Eric Hunsader, 45% of all trades in Apple are in lots of less than 100 shares, and therefore invisible to the public under the old regime.

    Why does this matter? For one thing it means that for years, trading volume in Apple was being misreported -- a situation that can lead to a stock being mis-priced. The system also advantaged one kind of trader over another.

    A 2011 study out of Cornell University found that computer algorithms were using odd lot trades for what the researchers called "price discovery" -- pinging the market with thousands of tiny orders designed to both disguise their intentions and to smoke out the big institutional orders than can push a stock up or down. For the past six years, high-frequency trading computers -- wired directly to the stock exchanges -- could see this information. The public -- until last week -- could not.

    如果你每天只能看到一次你所关注股票的价格，而其它关注同样一只股票的投资者却能实时看到它价格的变化情况，那将会是怎样一种情形？

    总的来说，这正是2007年（美国证交所创建全美市场体系）至2013年12月9日间美国股市的真实写照。自12月9日起，美国纳斯达克和纽约证券交易所开始向对大众公开股价数据流——“证券买卖汇总记录”，报告每笔不足100股的零散交易。

    这个变化看似微不足道，对大多数股票而言，或许确实如此。据路透社（Reuters）报道，虽然所谓的零散交易在过去20年增长了4倍，但它们仍然只占美国股票交易总额的5%。

    但对于苹果（Apple）等高价股票而言，零散交易仍然是数额巨大的买卖。就在本周一，有大量数额为100股的苹果股票被卖出，每次交易额均超过56000美元。对于普通投资者，56000美元绝不是一个可以轻松负担的数字。金融研究机构Nanex 首席执行官埃里克•亨赛德表示，45%的苹果股票交易额均少于100股。在现有金融体系下，大众投资者根本无法获悉。

    这种情况会产生什么影响？首先，它意味着多年以来，苹果股票的交易数量一直计算得不准确，而这会导致它的股价被错误估值。而且，这样的金融体系让某些交易者占尽先机。

    2011年，康奈尔大学（Cornell University）的一份研究报告指出，某些计算机算法被应用于零散股票交易，研究者称其为“价格发现”算法。这种算法使用大量零散交易试探市场，一方面可以掩盖交易者的真实意图，另一方面还可以发现大型机构拉高或打压某只股票的真实意图。过去六年，只有那些与证券交易所直连的高频电脑能够发现零散交易。而大众投资者直到上周才知道这种交易的真实情况。

    Some Apple investors believe this might explain a lot of the strange behavior they've observed in Apple since 2007 -- when the launch of the iPhone coincided with the promulgation of the SEC's Regulation NMS, which created the national electronic market system that high-frequency traders exploit. Apple's share price has moved both ways -- to extraordinary highs and confidence-shattering lows -- at volumes much lower than theory would predict. Invisible odd lot trades could explain the discrepancy.

    How will the new reporting regime affect the average Apple investor?

    "Several things will happen," says Nanex's Hunsader, a critic of high-frequency trading. "First, games that used to rely on that asymmetric information will no longer work. That in itself is good, with no effort on the part of the investor. Second, it will allow retail applications to better detect the supply/demand picture, etc. By knowing where these odd-lot trades are executing for example."

    "Asymmetric information is always bad for the market," Hunsader concludes, "because it drives away some participants from the market. The most resilient market is one with the widest diversity of participants."  

    不少苹果投资者认为这也许能解释苹果股价自2007年以来的诸多奇怪现象。iPhone的上市时间和美国证交会全国市场体系的公布时间惊人的一致，而高频电脑交易者恰好可以利用该体系大发横财。苹果股价呈现冰火两重天——要么高得吓人，要么低得绝望——但股票成交量又远低于理论预测值。无形的零散交易或许能解释这种现象。

    新的报告制度会对普通苹果投资者造成怎样的影响？

    高频交易批评人士，Nanex的亨赛德说：“以后会出现下面这些情况：首先，那样原本依靠信息不对称的投资将无以为继。这本身是件好事，也不会让投资者难办。其次，通过了解零散交易的走向，零售应用程序将能够更好的地掌握供需的全局面貌。”

    亨赛德总结说：“信息不对称向来对市场不利，因为它会导致一些市场参与者的退出。而市场参与者越具有多样性，市场的弹性就越大。”（财富中文网）

    译者：项航