Quantitative#118

Volatility-Targeted Book Scaling

This is a sizing discipline, not a trade signal. Measure each held market's recent price volatility from the order-book midprice tape, then size positions so each one contributes roughly equal risk, and throttle the whole book's gross to hit a target overall volatility. The benefit is steadier returns and not being oversized in a market that has turned jumpy as it nears resolution.

What you need to run it

Midprice tape ingestion per market
Rolling realized-vol estimator
Target portfolio vol + per-position vol-scaling logic
Automated resize/trim execution against the order book

Where this applies

Markets on Polymarket where volatility-targeted book scaling is the natural play:

Will ETH close above $4,000 on June 30, 2026?
Will the Fed cut rates at the next FOMC meeting?
Will the named team win the next NFL Super Bowl?

Capabilities this demands

Model / quantData ingestionRisk managementCustom code / API

At a glance

CategoryQuantitative

Requirements4

CapabilitiesModel / quant, Data ingestion, Risk management, Custom code / API

VenuePolymarket (CLOB, Polygon)

Build it

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This is documentation, not advice. Poly Research & Robotics publishes how these strategies work because the method should be checkable — not as a recommendation to trade them. See the full strategy database (297 strategies) or the data feeds directory.