The Quoting Problem
A market maker chooses bid and ask prices and quantities while fills arrive asynchronously and future value remains uncertain.
Central questions
- What reference value anchors the quotes?
- How should inventory, volatility, queue position, and fees alter them?
- When should one side be reduced or withdrawn?
Planned model
Let the reader move quotes around a latent value while observing fills, inventory, marked P&L, and adverse post-fill movement.