시장질서 교란행위(허수성 호가)를 통한 HFT 사후적 규제의 문제점과 제언―시타델증권 과징금 처분 사안을 중심으로―

Abstract

Recently, the Securities Futures Committee under the Financial Services Commission imposed a fine of 11.88 billion KRW (South Korean Won) on Citadel Securities for violating Article 176–2 of the Capital Market Act related to market manipulation (spoofing). Citadel Securities conducted high–frequency trading(HFT) on the KOSDAQ through its Merrill Lynch branch, and this was deemed as spoofing using deceptive bids and offers. This fine marks the highest amount ever imposed for HFT–related violations. Citadel Securities has contested this decision and filed an administrative lawsuit at the Seoul Administrative Court. HFT involves automated trading executed by computer algorithms, making it difficult to determine the intent behind the placement of buy and sell orders. Therefore, to determine whether HFT is engaging in spoofing, it must be assessed based on the characteristics of HFT activities. While the nature of HFT operations presents a potential for spoofing, it also suggests room for dispute regarding the imposition of sanctions for spoofing. This paper analyzes the Securities Futures Committee's decision to penalize Citadel Securities for spoofing based on the information provided by the committee. Furthermore, the paper suggests that ① regulation should proactively supervise HFT in terms of its efficiency, ② lawsuits' economic aspects, and ③ predictability of offenders' actions. It also argues that managing and regulating HFT proactively is essential, and the use of spoofing as a means of post-facto regulation should be considered as a last resort. In their press release, the Securities Futures Committee proposes four directions for proactive supervision of HFT: ① implementing trader registration requirements, ② offering market surveillance criteria to securities firms and brokers for preventive measures, and ③ enhancing exchange-level market surveillance through separate systems, ④ Enhancing Regulatory Framework for Algorithmic Trading Practices Based on Case Studies of Major Countries in the Medium to Long Term. These suggestions align well with international trends. The paper also suggests additional proactive regulatory measures such as circuit breakers, mechanisms to cancel clearly erroneous trades, and alternative trading systems (ATS) with speed limits.