Research preview

The market’s view of the Federal Reserve’s next move has shifted dramatically, with the probability of an October rate increase now below 50 percent. That change ripples through liquidity, volatility, and the way limit orders interact with market orders. For quantitative strategies that rely on precise execution modeling, understanding the mechanics of the order book under these new expectations is essential. Market‑Rate Expectations and Liquidity Supply When the odds of a policy hike decline, traders reassess the risk‑reward balance of holding short‑dated interest‑rate exposure. Many participants reduce the size of aggressive orders and increase the depth of passive liquidity at current price levels....