{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,26]],"date-time":"2026-10-26T22:33:57Z","timestamp":1793054037774,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":21,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>We propose a framework to quantify intraday cross-market interactions between zero-days-to-expiration (0DTE) options and their underlying exchange-traded funds (ETFs) using event-level data. A joint limit order book model is developed to estimate event intensities, such as order arrivals, cancellations, and trades, via a multivariate Hawkes process. We find statistically significant cross-market excitation and strong same-market clustering, with interactions that are asymmetric and highly time-varying over the trading day. Distinct patterns in interaction strength are observed around macroeconomic announcements. The framework further identifies microstructure-level drivers of cross-market excitation, allowing different event types to be decomposed, quantified, and compared in terms of their contributions to cross-market dynamics.<\/jats:p>","DOI":"10.2139\/ssrn.7097018","type":"posted-content","created":{"date-parts":[[2026,7,28]],"date-time":"2026-07-28T11:40:28Z","timestamp":1785238828000},"source":"Crossref","is-referenced-by-count":0,"title":["Modeling the Interactions Between Zero-Day Options and Underlying Markets Using Joint Limit Order Book Data"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-6340-3339","authenticated-orcid":true,"given":"Jiwon","family":"Jung","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-0023-6289","authenticated-orcid":true,"given":"Tim","family":"Leung","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"key":"ref1","article-title":"Do S&P500 Options Increase Market Volatility? 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