There is question from 2017 here but the answer given doesn't really go into any detail.

How correlated is volume with price impact? Especially with regard to wash trading; For example, wash trading is extremely prevalent in crypto markets and yet, despite this, one can still a clear correlation between volume and price impact.

Is there a nice formula that can break down the relationship?

  • $\begingroup$ Related topics: volume/dollar bars, net volume. $\endgroup$ – Sergei Rodionov Mar 19 at 9:33
  • $\begingroup$ It is a classic observation in many markets that there is a relation between volume and the absolute value of the price change. See for example this review article by Karpoff 1987 jstor.org/stable/2330874?seq=1 $\endgroup$ – noob2 Mar 19 at 13:55

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