摘要翻译：
我们提供了2007年11月金融危机开始时市场操纵的直接证据。2007年7月，美国证券交易委员会废除了一项规定，以防止“熊突袭”这种类型的操纵行为。这项规定，即上涨规则，旨在防止操纵和促进稳定，从1938年开始生效，作为政府应对1929年市场崩溃及其后果的关键部分。2007年11月1日，花旗集团经历了不寻常的交易量增长和价格下降。我们对金融业数据的分析表明，这一下降与借入股票的异常增加同时发生，借入股票的出售将占总交易量的很大一部分。出售借入的股份不能用新闻事件来解释，因为股份拥有人并没有相应的出售增加。六天后，同样数量的股票在一天内被归还。借入和归还股票的规模和巧合证明了齐心协力压低花旗集团的股价并实现盈利，即熊市突袭。对金融市场的解释和分析应考虑个体行为者或协调团体的有意行动可能影响市场行为的可能性。市场不够透明，甚至无法揭露重大的市场操纵事件。我们的研究结果表明，需要制定法规，防止导致市场偏离均衡并导致崩溃的故意行为。执法行动无法扭转对经济体系的严重损害。目前的“替代”上涨规则只对单日跌幅超过10%的股票有效，这是不够的。可以通过改善市场数据的可用性和原有的上涨规则或其他交易限制来实现预防。
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英文标题：
《Evidence of market manipulation in the financial crisis》
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作者：
Vedant Misra, Marco Lagi, and Yaneer Bar-Yam
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Physics        物理学
二级分类：Physics and Society        物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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英文摘要：
  We provide direct evidence of market manipulation at the beginning of the financial crisis in November 2007. The type of manipulation, a "bear raid," would have been prevented by a regulation that was repealed by the Securities and Exchange Commission in July 2007. The regulation, the uptick rule, was designed to prevent manipulation and promote stability and was in force from 1938 as a key part of the government response to the 1929 market crash and its aftermath. On November 1, 2007, Citigroup experienced an unusual increase in trading volume and decrease in price. Our analysis of financial industry data shows that this decline coincided with an anomalous increase in borrowed shares, the selling of which would be a large fraction of the total trading volume. The selling of borrowed shares cannot be explained by news events as there is no corresponding increase in selling by share owners. A similar number of shares were returned on a single day six days later. The magnitude and coincidence of borrowing and returning of shares is evidence of a concerted effort to drive down Citigroup's stock price and achieve a profit, i.e., a bear raid. Interpretations and analyses of financial markets should consider the possibility that the intentional actions of individual actors or coordinated groups can impact market behavior. Markets are not sufficiently transparent to reveal even major market manipulation events. Our results point to the need for regulations that prevent intentional actions that cause markets to deviate from equilibrium and contribute to crashes. Enforcement actions cannot reverse severe damage to the economic system. The current "alternative" uptick rule which is only in effect for stocks dropping by over 10% in a single day is insufficient. Prevention may be achieved through improved availability of market data and the original uptick rule or other transaction limitations.
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PDF链接：
https://arxiv.org/pdf/1112.3095