Order flow and cryptocurrency returns
研究了全球订单流对加密货币收益的解释和预测能力，发现其效果优于经济基本面，尤其在非线性机器学习模型中表现突出，且不能被套利限制解释。
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.