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2

You can try using different approaches. Starting from something not that "heavy" like the NN. 0) Pre study - you need to prepare your data (how you will treat a negative spread (i.e. ASK - BID <0), what will you do if you will have 0 spread and then you will divide some value by it?), - plan your research ahead - how will you divide your limited data ...

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There's a decent amount of literature about market making under uncertainty, one just needs to look. Start with the below and then use this title as a search for other relevant articles, it's cited a lot: Optimal Dealer Pricing Under Transactions and Return Uncertainty

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You can use refined methodologies but if you just need a rough estimation of liquidity, you can simply use an average of daily volume over N days. In practice, for equities, people tend to use N = 20 or 30. Once you have the average daily volume (say 100,000 shares), you compare it to your holding (say 50,000 shares) to determine the the size of your ...

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I think one of the main liquidity measures is the one from Pastor and Stambaugh (2003). You can use it for both individual stocks or indexes. Just run the following intra-month regression with daily data: $r^e_{i,d+1,t} = \theta_{i,t}+\phi_{i,t}r_{i,d,t}+\gamma_{i,t}sign(r^e_{i,d,t}) \times v_{i,d,t}+\epsilon_{i,d+1,t}$. Where $r^e_{i,d+1,t}$ is the ...

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I would consider Amihud (2002) as a good first approximation with that level of data.

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