Bighead's Algorithm Notes

Feb 13, 2026 · Artificial Intelligence

How ReVol’s Return‑Volatility Normalization Reduces Distribution Shift in Stock Price Prediction

The paper introduces ReVol, a three‑stage framework that normalizes price features, uses an attention‑based estimator to recover return and volatility, and denormalizes predictions, demonstrating consistent improvements of over 0.03 in IC and 0.7 in Sharpe ratio across multiple time‑series models.