AI 中文总结
该研究针对加密货币权益永续合约闭市标记的观测等价问题，提出通过披露打破等价性的方法，经实证验证了该方法的有效性，明确跨场所一致需披露或现货重开才能成为价格发现。
AI 中文摘要
加密货币上市的权益永续合约在现货现金市场闭市期间仍在交易，但仍需标记（mark）用于保证金、资金费和清算。我们将闭市标记建模为预言机算子的不动点，该算子包含两个模块：外部锚定和自身/同行衍生品参考。仅从标记和代理来看，这两个模块在观测上等价：每个简化形式都允许无穷多的拓扑分解，且路径律论证将此扩展至完整的标记动力学，因此领滞后和信息份额估计量的功效等于其大小。披露打破了这种等价性——披露的对角调整可识别归一化拓扑，而带有禁止锚定的披露支撑则提供了行级检验，在秩条件和有限样本容差下，该检验可识别、证伪或留下正维类。实证上，披露的OKX行通过了开盘前证伪，而纯外部基准显示该检验功效有限，且带有现货市场重开验证的八周全闭面板对闭市方差的外部实时内容进行了界定。跨场所一致并非价格发现，除非披露或现货市场重开打破等价类。
英文摘要
Crypto-listed equity perpetuals trade while the primary cash market is closed, yet still need a mark for margin, funding, and liquidation. We model the closed-window mark as the fixed point of an oracle operator with two blocks: external anchoring and self/peer derivative reference. From marks and proxies alone the two are observationally equivalent: every reduced form admits infinitely many topology decompositions, and a path-law argument extends this to the full mark dynamics, so lead-lag and information-share estimators have power equal to size. Disclosure breaks the tie -- disclosed diagonal adjustment identifies the normalized topology, and disclosed support with forbidden anchors gives a row-level test that identifies, falsifies, or leaves a positive-dimensional class under a rank condition and finite-sample tolerance. Empirically, a disclosed OKX row survives pre-open falsification while a pure-external baseline shows the test's limited power, and an eight-week deep-closed panel with cash-reopen validation bounds the live-external content of closure variance. Cross-venue agreement is not price discovery unless disclosure or the cash reopen breaks the equivalence class.
Comments16 pages, 2 figures
