This paper develops a structural market theory in which roughness, systemic synchronization, crash-like episodes, and incomplete visible pricing and hedging arise from one common mechanism. The setting is an N-asset Gaussian Volterra market with directed latent contagion kernels, asymmetric information flow, and an aggregate market-volatility functional. Admissibility is internalized at market scale rather than imposed: active off-diagonal contagion channels must remain source-screened visible and admit a genuinely shrinking projected normalization, and the paper characterizes exactly which channels satisfy that requirement. Within this admissible class, smooth directional contagion is locally degenerate at high frequency, so roughness becomes the only stable observable contagion phase. The same dominant rough edges define a screened contagion operator whose Perron threshold separates rough-but-local markets from rough-synchronized markets. At the aggregate level, the synchronized amplitude is defined canonically by Perron projection of the latent envelope, and a sufficient structural sigma-field for aggregate market-variance claims is derived from primitive aggregate coupling, Perron projection, and off-Perron aggregate screening rather than postulated as a pricing-side factor split. Under threshold-triggered activation, the synchronized phase becomes jump-like for coarse observers even though the primitive market remains continuous. The paper then shows that visible prices and visible hedges are compressions of latent market-variance risk: compression to visible pricing summaries leaves a lower-bounded convexity gap, and visible hedging of variance-linked claims leaves an explicit residual-risk lower bound whenever the synchronized latent component retains conditional variance. A short Oxford-Man appendix illustrates the empirical relevance of the Perron bridge by showing that the Perron-projected aggregate component tracks realized aggregate market stress closely. Taken together, these results yield an aggregate-first market theory in which asymmetric latent contagion forces roughness, roughness organizes synchronization, synchronized activation can generate crash-like episodes, and visible pricing and hedging remain phase-dependent compressions of latent market-variance risk.
Joan Vidal Llauradó (Wed,) studied this question.