Research preview

A violent incident at a primary school in northeastern Poland shocked the community and reminded traders that unexpected events can ripple through markets. While the tragedy is unrelated to finance, it illustrates how sudden shocks can expose hidden fragilities in execution strategies, especially when limit orders sit deep in the book and market orders attempt to consume them. The Anatomy of an Order Book Queue An electronic limit order book is a ranked list of buy and sell orders at each price level. Each price level may contain many individual orders, each with its own size....