{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T14:58:30Z","timestamp":1785337110498,"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>I estimate hidden order-book depth, expressed as a fraction of total visible depth on the relevant side of the book and denoted \u03ba! , from a continuous order-flow and limit-order-book record for the Bitcoin perpetual future (BTCUSDT) on a major derivatives venue. For each large aggregated market order, I compare the price impact implied by walking the visible book against the realised impact from the order's execution price; when the realised impact falls short of the walked-book impact by more than a size-scaled threshold, the order is identified as having been absorbed in part by depth not displayed on the pre-trade ladder, and \u03ba! is recovered as conservatively estimated hidden depth divided by visible depth. Partitioning 16,866 identified observations (the 15 June snapshot) into terciles of a smoothed market-stress index, I find that the \u03ba! distribution shifts upward as stress rises: the visible book understates effective liquidity more severely during stressed episodes. The winsorised mean increases monotonically across stress terciles, and a Kruskal-Wallis test rejects distributional equality (H = 20.8, p &amp;lt; 10 \u2074). The high-minus-low \u207b difference in winsorised mean \u03ba! is 0.029, with a block-bootstrap 95% confidence interval of [0.016, 0.042] that excludes zero and is stable across block lengths from 30 minutes to 4 hours. The shift is concentrated in the upper tail rather than the median. It reflects recovered hidden depth rising faster than visible depth, not the visible book thinning. A battery of robustness checkswinsorisation level, tercile versus quartile partition, order side, price-move direction, and an orthogonal volatility-based stress measure-leaves the result intact, and a placebo applying the identical estimator to small orders shows no positive stress effect-if anything the gap is small and negative-indicating the relationship is specific to large orders genuinely probing book depth rather than a mechanical artefact of stressed-market noise.<\/jats:p>","DOI":"10.2139\/ssrn.6980158","type":"posted-content","created":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T13:59:28Z","timestamp":1785333568000},"source":"Crossref","is-referenced-by-count":0,"title":["Hidden-Liquidity Absorption Increases with Market Stress in Bitcoin Perpetual Futures"],"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":"2026-07-29T13:59:28Z","timestamp":1785333568000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=6980158"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.6980158","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}