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arXiv · 2609.07122

Centering Drives Normalization Gains: Price-Offset Nuisances in Cross-Sectional Return Prediction

Mingju Chen·Qianhui Liu·Yui Lo·Yuanhang Liu
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Abstract

Cross-sectional return prediction from raw intraday bars is sensitive to each instrument price level, an additive nuisance under a return-ranking hypothesis. We test whether removing this offset, rather than rescaling amplitudes or changing the encoder, explains gains on a point-in-time CSI 300 five-minute panel. Eight parameter-matched encoders are evaluated with and without RevIN normalization; a parameter-free ladder then separates identity, scale-only, centering, last-value referencing, differencing, and standardization across all fields and restricted channels. Centering drives the reliable effect, while scale-only normalization does not help. All eight paired effects are positive and survive Holm correction on raw rank IC, after style residualization, and after additionally residualizing on short-term reversal. Among six stronger encoders, normalized IC is 0.0830-0.0939 and gains are 0.0376-0.0567. Price-only standardization retains 93-101% of the all-field gain. These results place the main effect in transformed price-channel offset removal rather than amplitude scaling or encoder choice.

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Mingju Chen, Qianhui Liu, Yui Lo, Yuanhang Liu. 2026-09-07. Centering Drives Normalization Gains: Price-Offset Nuisances in Cross-Sectional Return Prediction. https://arxiv.org/abs/2609.07122

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