Research preview

The past week has seen a cascade of geopolitical headlines—from Ukraine’s disrupted Starlink connectivity to a surprising U.S. executive order that pauses sanctions on Russia. Such events sharpen market participants’ focus on execution risk, especially when large orders meet thin liquidity. Understanding how limit order queues interact with market orders can give quantitative traders a decisive edge in volatile environments. The Queue‑Based Nature of Limit Orders In most electronic limit order books, each price level is a FIFO (first‑in‑first‑out) queue. A limit order that offers to sell 1 000 units at a given price will sit behind any earlier orders at the same price....