0
$\begingroup$

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?

$\endgroup$
2
  • $\begingroup$ Related topics: volume/dollar bars, net volume. $\endgroup$ 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

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.