Research preview

A recent attack near Niono, Mali, where militants killed seven people, underscores how unexpected events can disrupt markets. In quantitative trading, the same principle applies: hidden depth in an order book can mask execution risk. Understanding how limit orders sit behind a queue and how market orders can partially fill – or not fill at all – helps traders design strategies that survive sudden shocks. The Parallel Between Physical Ambushes and Order‑Book Ambushes When a convoy is ambushed, the attackers exploit a blind spot: the route appears safe until the moment of impact....