We study sequential decision making under evolving uncertainty in high-frequency financial markets, where changing market dynamics continually challenge static decision policies. We show that robustness has two economically meaningful dimensions: uncertainty tolerance, which determines how much uncertainty the decision maker allows, and action robustness, which governs how conservatively decisions respond. Robustness is not merely protection against model misspecification, but a state-dependent mechanism that reshapes sequential decision behaviors. Simulation and empirical evidence show that action robustness has a substantially larger impact than uncertainty tolerance. Moreover, excessive robustness may reduce profitability in illiquid markets by limiting execution opportunities.
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