Quant Memo
Market Making/●●●●●

How long does skewing take to flatten your book?

You're long 5,0005{,}000 shares and skewing your quotes to work it off. At a mild skew you expect to net 200-200 shares per minute (you sell a bit more than you buy). You could skew harder to net 500-500/minute, but a harder skew means selling further below fair, giving up more edge per share.

How long to flatten at each skew, and what governs the choice between them? Where does the randomness bite?

Your answer

This one is open-ended. Work it through, then check your reasoning against the full solution.

More Market Making questions