Market Dynamics and Tail Loss Optimization in the Presence of Top-of-the-Book Imbalance: A CME ES Futures Case Study.

How can real-time order book signals be harnessed to manage tail risk in high-frequency market making?

This article examines short-term price dynamics in CME ES futures around moments of top-of-the-book quote imbalance. It introduces probabilistic and optimization-based frameworks to evaluate directional risk and quote cancellation decisions under uncertainty. Drawing on seven years of high-frequency data, the study focuses on linking market signals to execution risk management to optimize outcomes of decision policy.