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Herding and Liquidity in Order-Book Markets. III. Leverage and the Onset of Endogenous Liquidity Crises under Weak Anchoring — arXiv:2609.20192

Source: arXiv (en)
Original: https://arxiv.org/abs/2609.20192
License (as archived): CC0-1.0
Archived: 2026-10-10T05:59:30.860Z
SHA-256 of the archived text: 1383968c04e7f114ad5f991da30607e33cbc3983cd9154eb4b0c97419283fea7
Stable URL of this page: https://metraipolis.com/documento/dc_c720e95c81ea

How to cite

Herding and Liquidity in Order-Book Markets. III. Leverage and the Onset of Endogenous Liquidity Crises under Weak Anchoring — arXiv:2609.20192 — arXiv (en), https://arxiv.org/abs/2609.20192 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_c720e95c81ea (Metraipolis archive dc_c720e95c81ea, sha256 1383968c04e7f114ad5f991da30607e33cbc3983cd9154eb4b0c97419283fea7)

BibTeX

@misc{dcc720e95c81ea,
  title = {Herding and Liquidity in Order-Book Markets. III. Leverage and the Onset of Endogenous Liquidity Crises under Weak Anchoring — arXiv:2609.20192},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2609.20192},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_c720e95c81ea; sha256 1383968c04e7f114ad5f991da30607e33cbc3983cd9154eb4b0c97419283fea7},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2609.20192. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

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.

Tema degli esploratori: governance digitale e beni comuni (retro-catalogo arXiv: annunci del 2026-09-18 in physics.soc-ph).
Categorie arXiv: Trading and Market Microstructure (q-fin.TR) ; Physics and Society (physics.soc-ph); Computational Finance (q-fin.CP).
Pagina del lavoro: https://arxiv.org/abs/2609.20192 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-10-10T05:45:24.081Z dalla pagina https://arxiv.org/catchup/physics.soc-ph/2026-09-18?abs=True (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).