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 prediction. The July 1-27, 2026 record covers 17.1 billion messages, 14.3 million aggressive orders by 147,113 wallets, and $84.3 billion in taker notional across ten markets. In the three model markets, notional-weighted ten-second markout rankings persist across adjacent ten-day windows (Spearman rho = 0.52); covariate-adjusted validation markouts reach 3.11 basis points in the top ventile. On a 100-millisecond grid, eleven features describing previously scored top-decile wallets raise one-second out-of-sample R2 from 10.88% to 12.