PARTIAL · detection tool
Hypothesis
Genuine trade-size and volume first digits follow Benford’s law; venues or pairs with manufactured volume deviate, flagging wash-traded markets to avoid.
Math — Benford's first-digit law
$$ P(d) = \log_{10}\!\Big(1 + \frac{1}{d}\Big),\quad d\in\{1,\dots,9\} $$
Method
Chi-square / MAD of first-digit distribution of trade sizes per pair-venue vs Benford; cross-check against known-clean majors.
Results
| Majors (clean) | fits Benford |
| Several low-cap pairs | strong deviation |
| Use | universe hygiene filter |
Not a trading strategy but a useful data-hygiene filter: pairs whose trade-size digits violate Benford are likely wash-traded and excluded from any universe. Adopted as a pre-filter, not a signal.
Sometimes the win is not a trade but a removal — knowing which markets are fake keeps fake fills out of every other backtest.