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Order flow and cryptocurrency returns

Author

Listed:
  • Anastasopoulos, Alexia
  • Gradojevic, Nikola
  • Liu, Fred
  • Maynard, Alex
  • Tsiakas, Ilias

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.

Suggested Citation

  • Anastasopoulos, Alexia & Gradojevic, Nikola & Liu, Fred & Maynard, Alex & Tsiakas, Ilias, 2026. "Order flow and cryptocurrency returns," Journal of Financial Markets, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:finmar:v:79:y:2026:i:c:s1386418126000029
    DOI: 10.1016/j.finmar.2026.101047
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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