As is the case with black holes, which as mentioned have an incredibly high mass while occupying a relatively small volume (on a cosmic scale) refers to objects with very high densities.
Density is the relationship between the mass of an object and the volume that the object occupies. Objects that are denser are those which have more mass packed into a smaller space than others. For example, cosmic entities with low densities in our solar system are:
Each of these gas giants, despite having a diameter many times greater than the earth, all have a lower density than the earth. This is due to the fact that gas is able to occupy great volumes without much mass due to the molecular spacing of its atoms.
These examples show how density can be irrelevant to the size of an object. Some entities can be incredibly dense while occupying a small volume, such as black holes, While others ( like the gas giants ) can occupy a relatively large volume while having low mass.
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