What Is a Common Method Used to Weight the Prices from Different Exchanges in a Crypto Index?

A common method is Volume-Weighted Averaging (VWA), where the price from each constituent exchange is weighted by its recent trading volume. This gives greater importance to the prices from the most active and liquid exchanges, making the index more representative of the broader market and less susceptible to manipulation on smaller venues.

Exchanges often apply specific rules to filter out anomalous or low-volume data.