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☴≈⌇Liquidity and market structure · descriptive
Are more liquid cryptocurrencies less return-predictable?
Wei reports that return predictability and volatility were lower among more liquid cryptocurrencies in a 456-asset cross-section.
Conditional
Wei reports that return predictability and volatility were lower among more liquid cryptocurrencies in a 456-asset cross-section.
The peer-reviewed result is source-verified, but it uses aggregate 2017 data and an Amihud-style liquidity proxy rather than executable depth.
Literature record
ConditionalWhat the reviewed source and linked counterevidence support.
Bathymark reproduction
Test outline readyThe next step is a proxy crosswalk from volume-based illiquidity to Bathymark depth evidence.
Live validity
Not monitoredCurrent liquidity pages expose related values, but no live efficiency test is running.
where the claim applies
Scope and horizon
Assets
456 cryptocurrencies
Venues or data
CoinMarketCap aggregate market data
Geography
Global aggregate markets
Sample
2017 study sample
Horizon
Cross-sectional return-predictability and liquidity tests
source result
What the work reported
The source reports lower return predictability and lower volatility among more liquid cryptocurrencies, with no illiquidity premium in its sample.
structured numbers
Cryptocurrencies examined456 assets
how the result was made
Method and implementation boundary
Design
Liquidity-sorted cross-section with market-efficiency tests.
Measures
Amihud illiquidity, return dependence, Hurst exponent, and volatility.
Reality gap
The liquidity proxy uses price and volume, not order-book depth or guaranteed executable size.
Assumptions
Aggregate price and volume data are sufficiently comparable across the 456 assets.
The chosen illiquidity proxy represents the relevant trading constraint.
Limits
Reported volume can differ from executable depth and can contain venue-quality problems.
One 2017 cross-section does not establish a permanent causal relation.
The paper's no-illiquidity-premium result is sample- and method-specific.
Required reality checks
Compare volume-based illiquidity with order-book and slippage measures.
Use current point-in-time universes with venue-quality filters.
Test direction, nonlinearity, and regime dependence separately.
What this cannot mean
That high volume guarantees easy exit.
That illiquid assets must earn more or less.
That a liquidity ranking is a return forecast.
source and version trail
The works behind this record
Bathymark stores curated bibliographic facts and its own paraphrase. It does not store the source abstract or full text. Open the original work to inspect the complete analysis.
Both records point to trading frictions and constrained arbitrage, while using different data and outcomes.
append-only assessment memory
Status history
ConditionalPrimary journal result verified, conditional on the aggregate data and volume-based liquidity proxy.
current Bathymark context
Related live evidence, not a replication
Current liquidity pages expose related values, but no live efficiency test is running.
Reviewed 2026-07-13; next review 2026-10-13. The paper record is not a recommendation, forecast, or proof of current profitability. Information, not financial advice.