Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges
Fuente:
arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866914380878184448 |
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| author | Sepper, Otar |
| author_facet | Sepper, Otar |
| contents | We introduce $\textbf{Slippage-at-Risk (SaR)}$, a quantitative framework for measuring liquidity risk in perpetual futures exchanges. Unlike backward-looking metrics such as Value-at-Risk computed on historical returns or realized deficit distributions, SaR provides a \emph{forward-looking} assessment of liquidation execution risk derived from current order book microstructure. The framework comprises three complementary metrics: $SaR(α)$, the cross-sectional slippage quantile; $ESaR(α)$, the expected slippage in the distributional tail; and $TSaR(α)$, the aggregate dollar-denominated tail slippage. We extend the base framework with a \emph{concentration adjustment} that penalizes fragile liquidity structures where a small number of market makers dominate quote provision. Drawing on recent work by Chitra et al. (2025) on autodeleveraging mechanisms and insurance fund optimization, we establish a direct mapping from SaR metrics to optimal capital requirements. Empirical analysis using Hyperliquid order book data, including the October 10, 2025 liquidation cascade, demonstrates SaR's predictive validity as a leading indicator of systemic stress. We conclude with practical implementation guidance and discuss philosophical implications for risk management in decentralized financial systems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_09164 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges Sepper, Otar Risk Management We introduce $\textbf{Slippage-at-Risk (SaR)}$, a quantitative framework for measuring liquidity risk in perpetual futures exchanges. Unlike backward-looking metrics such as Value-at-Risk computed on historical returns or realized deficit distributions, SaR provides a \emph{forward-looking} assessment of liquidation execution risk derived from current order book microstructure. The framework comprises three complementary metrics: $SaR(α)$, the cross-sectional slippage quantile; $ESaR(α)$, the expected slippage in the distributional tail; and $TSaR(α)$, the aggregate dollar-denominated tail slippage. We extend the base framework with a \emph{concentration adjustment} that penalizes fragile liquidity structures where a small number of market makers dominate quote provision. Drawing on recent work by Chitra et al. (2025) on autodeleveraging mechanisms and insurance fund optimization, we establish a direct mapping from SaR metrics to optimal capital requirements. Empirical analysis using Hyperliquid order book data, including the October 10, 2025 liquidation cascade, demonstrates SaR's predictive validity as a leading indicator of systemic stress. We conclude with practical implementation guidance and discuss philosophical implications for risk management in decentralized financial systems. |
| title | Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges |
| topic | Risk Management |
| url | https://arxiv.org/abs/2603.09164 |