Calibration Bets on the Past: Post-Training Quantization for Financial Time-Series Forecasting

Financial forecasting models are typically developed in full precision, yet production deployment often requires low-precision inference to reduce memory and computational cost. Post-training quantization (PTQ) enables such deployment without retraining. However, reliable activation quantization requires calibration: activation ranges are estimated from historical data before deployment and then remain fixed during future inference. The importance of this deployment choice for financial forecasting remains poorly understood. We present a systematic study of activation calibration for PTQ in cross-sectional volatility forecasting on the S&P 500. Our evaluation covers seven representative neural architectures, eight walk-forward test years (2018–2025), and 560 trained models. We find that activation calibration has little effect at 8 bits but becomes the primary determinant of predictive performance at 4 bits. Under default absolute-maximum (abs-max) calibration, static 4-bit quantization of both weights and activations removes 11–62% of the full-precision mean information coefficient in affected architectures. Replacing abs-max with percentile calibration recovers 53–94% of this degradation in the four most affected architectures. The preferred activation range also varies across market periods: narrow ranges improve resolution under typical market conditions but lose part of their advantage when test-period market dispersion exceeds the calibration history. These findings show that activation calibration is a first-class deployment decision for reliable 4-bit PTQ in financial forecasting. When substantial degradation remains, 8-bit activations or weight-only 4-bit quantization provide more robust deployment choices.

Recommended citation: Ye, J., & Wanjiku, I. G. (2026). "Calibration Bets on the Past: Post-Training Quantization for Financial Time-Series Forecasting." arXiv preprint arXiv:2608.12259.
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