{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T14:11:06Z","timestamp":1785334266647,"version":"3.55.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"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>A market maker on a perpetual futures venue faces forced liquidations: order flow that is exogenous, directional, and self-exciting. I model signed liquidation flow as a bivariate marked Hawkes process and embed its conditional intensity in an Avellaneda-Stoikov problem. A maker left with inventory must unwind it into a book consumed by same-side forced flow; I derive this exit cost rather than assume it, and show it is quadratic in inventory and linear in the matched intensity. That cost breaks the inventory symmetry of the value function and yields a clean prediction: if liquidation flow is toxic, the optimal reservation price leans away from the more active cascade direction, linearly in the intensity gap. I then test the premise on Hyperliquid, using a complete on-chain liquidation series that collapses roughly 42,000 raw forced-liquidation fills into several thousand cascade events per contract. The liquidation process is subcritical and self-exciting, with spectral radius near 0.81 and a decay of tens of seconds. But the toxicity premise fails on the most liquid contract. Passive fills taken during elevated same-side liquidation intensity are not adversely selected; they earn favourable forward mark movement, consistent with cascades that mean-revert over about a minute. Resting depth tilts toward, not away from, the active cascade, and there is no liquidation-specific spread premium. On this contract the maker should lean into liquidations, not away. The within-venue picture across contracts is heterogeneous, and I report it honestly: the result is cleanest on Bitcoin, underpowered on Ether, and mixed on Solana, a pattern that motivates a pre-registered hypothesis linking liquidation toxicity to book depth. The model is internally correct; its empirical premise does not hold where a deep, fast liquidation backstop makes cascades revert. The contribution is a tractable model whose scope this delimits, a reusable on-chain liquidation dataset, and direct evidence on when liquidation-aware quoting should and should not matter.<\/jats:p>","DOI":"10.2139\/ssrn.6847019","type":"posted-content","created":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T13:41:17Z","timestamp":1785332477000},"source":"Crossref","is-referenced-by-count":0,"title":["Liquidation-Aware Market Making in Perpetual Futures: Optimal Quoting under a Self-Exciting Forced-Liquidation Process, and an Empirical Test of Its Premise"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0005-8477-9393","authenticated-orcid":true,"given":"Boon Chuan","family":"Lim","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T13:41:17Z","timestamp":1785332477000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6847019"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6847019","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}