{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T14:59:33Z","timestamp":1785337173507,"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 perpetual future trades continuously, but its oracle must mark an underlying that does not. On cryptocurrency venues this never binds, because the reference asset trades every second of every day. On the equity perpetuals that appeared on decentralised venues over the past year it binds hard. Chinese Ashares are the extremal case: daily price limits create stale-price states, identified by a close printed at the daily limit with the gap revealed at the next non-limit reopen, frequent halts interrupt the tape, and exchange holidays close the market for a week at a time. I ask whether any oracle design can mark a single A-share through these blackout states in a way that is jointly safe for traders and for the protocol's liquidity backstop. I characterise the blackout-state distribution for the A-share universe, construct an expost fair-value benchmark for a locked name from tradable correlated instruments-chiefly its Hong Kong twin and a continuously-traded A-share index-and measure oracle forecast error as a function of blackout duration. I then propagate that error through a perpetual-futures mechanism simulation into funding accrual, liquidity-provider profit and loss, and liquidation cascades. Across 148 dual-listed names from 2015 to 2025 the pattern is sharp. Single-name oracle error grows with lock duration and carries a heavy tail. The Hong Kong proxy is the strongest single-name design, yet its reopen error moves one-for-one with the contemporaneous change in the A\/H premium, so it is biased in exactly the states where the oracle leans on it. Same-direction co-lock across the universe is negligible outside the systemic episodes of 2015, 2020, and 2024, so the index goes dark only when the whole market does. My central claim is that idiosyncratic blackout risk diversifies at the basket level, so a perpetual written on a broad A-share index is feasible where single-name perpetuals are not. In the mechanism simulation no single-name oracle achieves an institutionally acceptable pairing of solventliquidation rate and expected vault loss, while the index clears it by roughly three orders of magnitude under the stated vault-loss metric.<\/jats:p>","DOI":"10.2139\/ssrn.7011358","type":"posted-content","created":{"date-parts":[[2026,7,29]],"date-time":"2026-07-29T14:02:58Z","timestamp":1785333778000},"source":"Crossref","is-referenced-by-count":0,"title":["When the Underlying Goes Dark: Oracle Forecast Error and Mechanism Failure in Perpetual Futures on Chinese Equities"],"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":"2026-07-29T14:02:58Z","timestamp":1785333778000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7011358"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7011358","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}