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When Cross-Venue Agreement Is Not Price Discovery: Disclosure Frontiers for 24/7 Equity-Perpetual Oracles

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Listed:
  • Donghwa Seo
  • Doohwi Cha
  • Seunghan Son
  • Juyeong Lee
  • Minjae Lee
  • Minsuk Sung

Abstract

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.

Suggested Citation

  • Donghwa Seo & Doohwi Cha & Seunghan Son & Juyeong Lee & Minjae Lee & Minsuk Sung, 2026. "When Cross-Venue Agreement Is Not Price Discovery: Disclosure Frontiers for 24/7 Equity-Perpetual Oracles," Papers 2608.09188, arXiv.org.
  • Handle: RePEc:arx:papers:2608.09188
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    References listed on IDEAS

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    3. Michael J. Barclay, 2003. "Price Discovery and Trading After Hours," The Review of Financial Studies, Society for Financial Studies, vol. 16(4), pages 1041-1073.
    4. Bramoullé, Yann & Djebbari, Habiba & Fortin, Bernard, 2009. "Identification of peer effects through social networks," Journal of Econometrics, Elsevier, vol. 150(1), pages 41-55, May.
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