Cross‐Asset Tandem Trading and Extraordinary Volatility
研究了跨资产订单流在异常波动期间如何加剧价格偏离基本面，并评估了市场熔断机制的效果，对监管者和交易者理解市场联动风险有参考价值。
ABSTRACT Cross‐asset order flow provides an incremental and novel nonlinear price discovery channel. Structural vector autoregressions of synchronized intraday message data reveal distinct patterns in the comovement of order flow and its influence on returns and volatility. While cross‐market order flow usually reconciles prices through small‐stakes arbitrage in periods of low volatility and comovement during medium volatility associated with information arrival, it can exacerbate price dislocation from fundamental values during extraordinary volatility. While applying market‐wide circuit breakers (MWCB) mitigates the extreme negative spillovers by jointly halting markets, we identify room for further harmonization during the MWCB market reopening process.