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Determine the right order size - Market Making Strategy?

That task pays well if the idea is clever.

In a market market strategy [login to view URL], how can we determine the right order size? Assuming I use a market making strategy and on a specific stock at a time t, I place a limit buy order at price p_1 with volume v_1 and limit sell order at price p_2 with volume v_2. In taking into account that v_1 = v_2, how can we determine the right order size?

The author of that paper told me : "That's a question I don't fully address. But the goal is typically to manage inventory, so you will never fall outside +/- x around a neutral position. Therefore if you are long x, then you will typically place an order to sell x and return to a neutral position (sometimes market orders are placed to do this more aggressively). "

I did not fully understand what he meant.

Skills: Finance, Financial Analysis, Financial Research, Machine Learning

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