AI 中文总结
研究订单簿市场中流动性供应锚定基本面价值时的恢复力及稳定性，通过因果关系识别恢复力，还探讨压力市场流动性压力的传递，发现其不会传递，指出流动性危机是基本面锚定失败而非做市失败。
AI 中文摘要
流动性供应锚定在基本面价值的订单簿市场具有恢复力：价格均值回归价值，冲击后订单簿会重新填充。我们表明这种恢复力是一种强大的内在稳定器，并通过因果关系识别它——降低锚定水平会消除均值回归，然后杠杆驱动的甩卖会自我维持。另外，我们研究了压力市场是否会将其流动性压力传递给耦合的平静市场，发现不会：在六个强度递增的传导渠道中——跨市场羊群效应、套利流、做市商退出，直至资金受限群体的甩卖和杠杆螺旋——接收方的压力与相邻市场是否有压力无关，在每个锚定强度下都是如此。做市商退出会使接收订单簿变薄，但不会引发危机。我们始终使用的序参量是订单簿流动性压力而非方向性价格暴跌的单边性，所以这里的流动性危机意味着失败的锚定所产生的持续单边性。此模型中的流动性危机是基本面锚定的失败，而非做市的失败。
英文摘要
An order-book market whose liquidity provision is anchored to a fundamental value carries a restoring force: the price mean-reverts to value and the book refills after a shock. We show this restoring force is a robust intrinsic stabiliser and identify it causally-dialling the anchor down removes the mean-reversion, and a leverage-driven fire-sale then self-sustains. Separately, we ask whether a stressed market transmits its liquidity stress to a coupled calmer one, and find that it cannot: across six transmission channels of increasing strength-cross-market herding, arbitrage flow, and market-maker withdrawal up to a funding-constrained population fire-sale and a leverage spiral-the receiver's stress is independent of whether its neighbour is stressed, at every anchor strength. Market-maker withdrawal thins the receiving book but does not ignite it. Our order parameter throughout is the one-sidedness of the book-liquidity stress rather than a directional price crash-so a liquidity crisis here means the sustained one-sidedness a failing anchor produces. A liquidity crisis in this model is a failure of fundamental anchoring, not of market making.
