Thursday, July 09, 2009

Quantitative Sleazing

From Bloomberg, Johnathan Weil reports a US prosecutor says a stolen Goldman Sachs computer program capable of manipulating global markets may fall into the wrong hands (wrong being other than the world's most powerful investment bank). About the first of this month Goldman notified authorities that former employee Sergey Aleynikov, not content with post-its and paper clips, ripped off the program in his last week working for the company. He was arrested getting off a plane in Newark on July 3. Arguing against bond, the government's prosecutor asserted:
It wasn’t just Goldman that faced imminent harm if Aleynikov were to be released, Assistant U.S. Attorney Joseph Facciponti told a federal magistrate judge at his July 4 bail hearing in New York. The 34-year-old prosecutor also dropped this bombshell: “The bank has raised the possibility that there is a danger that somebody who knew how to use this program could use it to manipulate markets in unfair ways.”

Publicly Goldman is not going on record, but trying to play down worries:
Goldman isn’t commenting publicly about any of this, though it seems the bank’s bosses want us to believe there’s no need to worry. On July 6, Dow Jones Newswires quoted a “person familiar with the matter” saying this: “The theft has had no impact on our clients and no impact on our business.” Note that this person was so familiar with Goldman that he or she spoke of Goldman’s clients as “our clients” and Goldman’s business as “our business.”

Weil notes:
All this leaves us to wonder: Did Goldman really tell the government its high-speed, high-volume, algorithmic-trading program can be used to manipulate markets in unfair ways, as Facciponti said? And shouldn’t Goldman’s bosses be worried this revelation may cause lots of people to start hypothesizing aloud about whether Goldman itself might misuse this program?

According to his attorney, Aleynikov admits to downloading the software, but denies intending to use it in any "proprietary way." Aleynikov had left Goldman to work for fellow Russian emigre Mikhail Malyshev's start-up company, Teza Tech. Malyshev has been sued by former boss Citadel, alleging he's in violation of a non-compete clause. Malyshev specialized in--what else?--high-frequency trading, and according to the story linked above:
Malyshev, a Russian emigre with a doctorate in astrophysics from Princeton, left Citadel's quantitative trading unit in February after the funds he helped run returned about 40 percent last year. Their performance stood out at a time when most hedge funds lost money and Citadel's flagship portfolios tumbled 50 percent.

The quants shall inherit the economy.

1 comment:

Anonymous said...

Ah but the lesson we've allowed the powerful to get away with spewing during the Madoff shenanigans is that using your wealth to accrue more wealth to the detriment of those further down the latter is so noble a cause that anyone who would harm such an apparatus is a "monster", "fiend", "enemy of mankind", etc. Because we were loath to speak a word of defense for Bernie we've come to tacitly endorse the message that those who harm the system are mankind's enemies rather than its saviors.

For some very strange reason, it appears to be a greater crime in this country to steal from the rich than to steal from the poor (which takes place when you exponentially increase your wealth while others can not and thus drive up inflation and thus raise the cost of living beyond what people used to be able ro afford, but enough economics for now).

mnuez

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