# Tag Info

## Hot answers tagged position-sizing

7

This paper Dealing with the Inventory Risk. A solution to the market making problem, has a full bibliography and explains the intra day market making mechanism. The model is made of two components: a diffusion of the fair price (to model the market risk) a point process (with an intensity in $A \exp -k \delta$ (where $\delta$ is the distance to the fair ...

2

You first need to clearly define your constraints first: max single position size max net exposure I am not sure why you want to limit order size. The whole idea of hft strategies is to maximize turnover. As long as your strategy generates alpha you should allow it to trade as often as the strategy prescribes. All you need to then do is to constrain the ...

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