Order flow and cryptocurrency returns
Abstract
We assess the information content of order flow for the cross-section of cryptocurrency returns. Our analysis is based on a set of international order flows denominated in 11 major currencies that reflect world order flow. We find that world order flow has strong explanatory and predictive power for cryptocurrency returns. Order flow tends to dominate economic fundamentals for out-of-sample prediction, especially in the context of non-linear machine learning models, and its performance cannot be explained by limits to arbitrage. Overall, our findings indicate that order flow has a permanent effect on cryptocurrency returns.
Fields of Study & Subjects
Financial Markets and Investment Strategies
Financial Risk and Volatility Modeling
Blockchain Technology Applications and Security
Publication details
- Journal / source
- Journal of Financial Markets
- Publisher
- Elsevier BV
- Volume
- 79
- Pages
- 101047–101047
- Publication date
- 15 January 2026
- Language
- EN