Core Viewpoint - The extreme volatility of the stock of Yaojie Ankang-B (02617) on September 16 highlights the influence of quantitative trading in a shallow market, resulting in a dramatic price fluctuation and revealing liquidity traps [1][12]. Group 1: Stock Performance - Yaojie Ankang-B experienced a rollercoaster ride, opening at 477.2 HKD, peaking at 679.5 HKD (up nearly 60%), and closing at 192 HKD, marking a total intraday fluctuation of approximately 124% [1][6]. - The stock's total market capitalization fell to 76.204 billion HKD, with a trading volume exceeding 4.5 billion HKD and a turnover rate of only 4.13% [1][6]. Group 2: Trading Characteristics - The stock's trading exhibited abnormal characteristics, with a significant disparity between buy and sell orders, where buy orders accounted for 90.91% and sell orders only 9.09%, indicating a lack of active market participation [6][12]. - The low turnover rate amidst high volatility suggests that most shares were locked up, with only a few experiencing panic selling and buying [6][12]. Group 3: Investor Behavior - The investor base for Yaojie Ankang-B is polarized, consisting of long-term strategic investors who hold their positions and short-term quantitative traders who engage in high-frequency trading [7][12]. - The selling pressure from quantitative traders, combined with the stability of long-term holders, led to significant price drops when sell orders were executed [7][12]. Group 4: Algorithmic Trading Mechanism - The extreme market behavior can be broken down into four phases: liquidity attraction and short squeeze, liquidity withdrawal and flash crash, cascading stop-loss triggers, and low-price turnover and position adjustment [9][10]. - The trading dynamics revealed a stark contrast in actions between different investor groups, with mainland funds showing significant divergence in their valuation judgments of the stock [10][12].
谁在操控药捷安康-B？四阶段拆解45亿成交背后的量化博弈