发表机构
Bayes Business School（贝叶斯商学院）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本研究通过连续双向拍卖市场模型，发现基础价值锚定削弱会引发内生流动性危机，危机由保证金缓冲而非单纯杠杆决定，且爆发为平滑的亚临界过程。
AI 中文摘要
基础价值锚定对挂单流动性是订单簿市场的因果稳定器：当锚定保持时，即使高杠杆的订单簿也能保持平静。我们将锚定强度视为连续控制变量，并刻画了当锚定几乎被移除时出现的内生流动性危机。在一个由锚定噪声交易者、图表分析师羊群者、受资金约束的做市商群体以及面临追加保证金通知的杠杆持有者驱动的单一连续双向拍卖市场中，没有注入任何外生冲击，因此任何危机都是自我生成的。削弱锚定同时开启了经典的杠杆风格化事实：收益率尾部指数从约6.5降至2.3，积分波动率自相关大约翻倍，尽管聚集是短记忆的，而非真实市场的长记忆。将危机隔离为匹配羊群的杠杆减非杠杆的订单簿消耗增量，我们发现危机局限于弱锚定和中等羊群效应的狭窄区域，在该区域中，更多杠杆总是加深危机。其爆发并非仅由杠杆决定，而是由保证金缓冲决定，即持有者在被迫出售前能承受的价格下跌幅度，该缓冲由杠杆和维持保证金共同设定：杠杆-保证金二维平面在一阶近似下坍缩到这个单一缓冲上，因此收紧维持保证金与提高杠杆一样具有破坏稳定性。爆发是一个平滑的亚临界交叉：点火概率逐渐上升，运行长度检验未揭示潜在的急剧 tipping 点，分支比代理保持在远低于1的有界范围内。
英文摘要
Fundamental-value anchoring of resting liquidity is a causal stabiliser of an order-book market: while the anchor holds, even a heavily leveraged book stays quiet. We take that anchor strength as a continuous control and characterise the endogenous liquidity crises that appear once it is nearly removed. In a single continuous-double-auction market driven by anchored noise traders, chartist herders, a population of funding-constrained market makers, and leveraged holders subject to margin calls, no exogenous shock is injected, so that any crisis is self-generated. Weakening the anchor turns on both classical leverage stylised facts: the return tail exponent falls from about 6.5 to 2.3 and the integrated volatility autocorrelation roughly doubles, although the clustering is short-memory rather than the long-memory of real markets. Isolating the crisis as a matched-herding levered-minus-unlevered book-depletion increment, we find it confined to a narrow region of weak anchor and intermediate herding, in which more leverage always deepens the crisis. Its onset is governed not by leverage alone but by the margin buffer, the price fall a holder can absorb before a forced sale, set jointly by leverage and the maintenance margin: the two-parameter leverage-margin plane collapses, to leading order, onto this single buffer, so that tightening the maintenance margin is as destabilising as raising leverage. The onset is a smooth, sub-critical crossover: the ignition probability rises gradually, a run-length test reveals no latent sharp tipping, and a branching-ratio proxy stays bounded well below unity.
