What does Jordan means when she says, "And I like large parties.  They're so intimate.  At small parties there isn't any privacy"?  What does it reveal about her character?

This statement reveals that Jordan enjoys cultivating a public persona that does not reflect who she actually is. A large party allows her to blend in and only interact with the people she chooses. At a smaller gathering, she would be too open to closer examination which might reveal her dishonest nature.

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Jordan's statement means that large parties allow her to mingle and associate with the people she chooses without necessarily being noticed by the rest of the partygoers. The noise, the music, the large number of people, and the generalized excitement let any one person slip in, find her own set, and quietly have her own party within the larger party. We see this happening at Gatsby's party, where, for example, a small party of people that included Nick, are able to talk unnoticed in the din, or even meet, by chance, in the library. This is a huge contrast, say, to the party of five forced together later, in the heat, at the Plaza hotel, where there is no escape, no privavy.

The statement reinforces that Jordan is witty, clever, and has dry sense of humor. It also shows, as Nick realizes, that Jordan carefully guards her privacy so that she can:

keep that cool, insolent smile turned to the world and yet satisfy the demands of her hard jaunty body.

Many critics have interpreted Jordan as a lesbian using dating Nick as a form of cover. Whether or not this is true, Jordan has a personality that stays detached. Like Nick, she plays the role of observer rather than central actor in most settings. He notes her at times trying to mentally transport herself from unpleasant scenes by lifting her chin and seeming to concentrate on an invisible ball perched on its tip.

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Despite having cultivated a public persona as a glamorous professional golfer, Jordan Baker is actually a very private person in many ways. This likely stems from her penchant to lie, cheat, and deceive others.

The fact that she prefers large parties to small ones helps her maintain this. At a large party, she can make sure that she is seen by many other people. However, she does not need to interact with anyone she does not want to. At small parties, she is unable to hide among the crowd. She is forced to interact with whomever else is there. As such, Jordan likely finds it tiresome or even stressful to maintain all the deception that she cultivates in public.

We see just how she enjoys the intimacy of a large party in Chapter 3. Here, she is at one of Gatsby's massive and opulent parties. There are likely hundreds of people in attendance. However, the only person we see her interact with on any meaningful level is Nick. Almost every other person she sees she either ignores, gossips about, observes from a distance, or speaks to only in the most superficial way. At a large party such as this, Jordan has much more control than she would in a smaller setting.

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This comment of Jordan's also seems to support what Nick says about her, that "She [is] incurably dishonest."  Jordan is someone who likes to control her environment, and this is probably because she is so dishonest.  Nick recalls why he felt Jordan looked familiar at first: he initially recognized her from a near-scandal involving her alleged cheating in a golf tournament, an allegation that seems all the more true because it was hushed up so quickly when witnesses retracted their statements.  At a large party, Jordan can blend in more; she can control to whom she speaks, and it would be easier to escape someone she might not want to end up in conversation with.  At a small party, Jordan would likely be forced to speak with everyone present, and she would have a great deal less control over her conversation partners.  Nick says that she avoids "clever, shrewd men," and this is likely because they are more apt to pick up on her lies.  Further, "She wasn't able to endure being at a disadvantage," at which her loss of control in a small party would put her.  Jordan's comments ultimately seem to confirm her dishonesty and her need to control her surroundings so that she can manipulate them as deftly as possible.

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It's easier to get away unnoticed in a large crowd and spend time alone with someone than it would be if you were with a small group (everyone would notice you were gone right away).

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Although it sounds paradoxical, Jordan's statement does, in fact, make perfect sense!

Think about it this way--if you are in a room full of 100 people, and you are speaking to someone next to you, chances are that no one else in the room is listening in to your conversation--they can't! There would be too much noise and commotion and far too many distractions.

However, if you are at a small gathering of say 15 people, the chance that ALL guests are involved in conversation on one topic increases. Also, if you are engaged in a one-on-one conversation at this smaller party, the odds are greater that someone will overhear what's being said or that someone will come to your table and try to join in the conversation.

So, when Jordan says large parties are intimate, she means that large parties offer the opportunity for discussions in smaller groups that will not be overheard by all, whereas at a small party, everyone is aware of what everyone else is saying.

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