Wallet toxicity rankings built from past aggressive-order markouts persist across months, and adding their live activity to an anonymous order-book model raises out-of-sample one-second R2 by 13.2% (t=9.2).
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Public Trader Identity: Adverse Selection and Return Predictability
Wallet toxicity rankings built from past aggressive-order markouts persist across months, and adding their live activity to an anonymous order-book model raises out-of-sample one-second R2 by 13.2% (t=9.2).