Research preview

The Indian equity market posted an unprecedented single‑day rise of roughly ₹18 lakh crore, the biggest jump in at least five years. Such a move reshapes liquidity, order‑book depth, and the behavior of market orders. For quantitative traders, understanding how limit‑order queues interact with large market orders is essential to capture the new volatility without costly slippage. Why the Surge Matters for Quant Strategies A jump of ₹18 lakh crore translates into a massive reallocation of capital across sectors, driving rapid changes in bid‑ask spreads and order‑book composition. Algorithms that rely on static depth assumptions will see their execution quality deteriorate....