The Life of a Sell Wall: Standing, Growing, Thinning

We put the three phases of the same sell-side wall — how much stands there, what arrives, what leaves into one study and asked how the pieces relate, which one leads, and what the combination predicts. Same boundary as always: it speaks about size, not side.

① The pieces, measured separately

This study looks at the three phases of the same sell-side wall — how much stands there, what arrives, what leaves. Before combining anything we show each component on its own scale, per coin — otherwise a composite hides which part is actually doing the work.

② How the pieces relate

Cross-correlation between the components, averaged over coins. The strongest pairs are sell-wall build-up vs sell-wall drain +0.92; the sell wall vs sell-wall build-up +0.32; the sell wall vs sell-wall drain +0.26. Numbers near zero matter as much as high ones: they say the two quantities carry independent information and can be combined without simply repeating each other.

③ Which one moves first

Lagged correlation answers the ordering question: when one component shifts, does the other follow, and after how long? Profiles that peak away from zero lag indicate a lead-follow relationship rather than a coincidence.

④ What the combination predicts

The same volatility sweep as in every study, now for the combined view: link strength against the size of the next move across horizons, per coin. As everywhere else, the usable signal sits at the short end and concerns magnitude.

⑤ Where it peaks

The best window per coin for the combined reading.

⑥ Impact per unit

Price impact per +1σ of each component, side by side — useful to see which piece carries the mechanical push and which is merely correlated with it.

⑦ States and transitions

Labelled states for the combined reading, and how they hand over to one another.

⑧ Memory of the combination

Autocorrelation of the combined reading by timeframe — the same stickiness we see in every single feature, preserved after combining.

⑨ Extremes

How far above normal the extremes of this combination run.

Research, not financial advice.

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