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Author

Daojing Zhai

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Preprint Nov 2026

Beyond Anonymous Order Flow: Wallet Identity as a Feature for Short-Horizon Return Prediction

Conventional public order-book data summarize trading without identifying the accounts behind it. Hyperliquid's Level-4 record also exposes persistent pseudonymous wallet addresses. We reconstruct full-depth books from consensus-ordered messages and evaluate wallet identity as a feature for short-horizon return predict...

Jing-Qiu Ding, Dao-Jing Zhai · 0 citations
Preprint Aug 2026

Public Trader Identity: Adverse Selection and Return Predictability

Informed traders are supposed to need anonymity: they profit by hiding among the uninformed. A decentralized exchange now publishes the counterparty. Every committed order, cancellation, rejection, and fill carries a persistent pseudonymous wallet address. We reconstruct the full-depth limit order book from a record of...

Dao-Jing Zhai · 1 citation

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