Thanks for your feedback.
Actually an orderbook with a consequent depth in relation to the competitors’ that vanishes when the order is submitted is wash trading
That would rather be spoofing. To my knowledge there have been no consistent reports of orders actually disappearing when matched with a market order, which would be the main caveat: thoroughly nonexistent orders. Spoofed orders are still liquidity.
From simply reading its beginning, the study you cite asserts there’s no relation between volume and liquidity in a given market, over time rather that at a given instant over several markets, for which it acknowledges a relation, referring to Demsetz 1968.
Finally, although arbitrage conditions can make a marginal difference between exchanges, there is no excuse to be made for the shape of OKex’s volume (which they’ve since corrected, IIRC)
