Research preview

A severe thunderstorm warning for Gauteng, North West, parts of Mpumalanga, Limpopo and the Free State is expected to hit on Tuesday. Heavy rain, damaging winds, hail and excessive lightning can disrupt power, communications and trading venue operations. Quantitative traders must understand how such external shocks translate into micro‑structure effects, especially the behavior of limit orders that sit deep in the queue. Market micro‑structure under stress When a weather event threatens a region, market participants often adjust their exposure. Institutional desks may reduce or hedge positions, while retail traders might submit a surge of market orders to close positions before a potential outage....