Daily cross-sectional normalisation
Question
Is standardising a signal across all stocks on the same date necessarily look-ahead? State the conditions that matter.
Short answer
Not necessarily. It can be valid if the entire required cross-section is observable before the decision and the trading universe is selected without future information. It leaks if it uses later prices, future universe membership or values arriving after execution. Specify whether statistics are available at the intended timestamp and how missing or asynchronous observations are handled. Cross-sectional and full-history normalisation have different information requirements.
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