Measuring the engine of a liquidation cascade: subcritical branching inside a first-order transition
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摘要
A record study of seven major crypto perpetual cascades (2022–2025) shows the transition signature is first-order and liquidity-driven rather than critical. In-flight measurements during the October 2025 cascade indicate subcritical branching (λ ≈ 0.1–0.2) with front-loaded forcing and substantial off-book absorption by the venue backstop. Across measures, the order parameter jumps while the susceptibility collapses, and the in-cascade liquidity signature—price-impact spikes and open-interest-clearing—appears universal. The branching model is falsified as an explanatory pre-cascade state, linking severity to shock, map-in-path, and liquidity withdrawal rather than a diverging multiplier [page::0][page::6][page::8]
