[...] People do with high accuracy know what adresses (wallets) belong to the exchanges. Im not sure on the last one, but i think it is true, big exchanges have only few adresses/wallets (they do not create a special wallet for each customer), and these are known, or am i mistaken?
Virtually all exchanges handle it this way: For each deposit a fresh address is or can be generated by the user. There has to be at least one user-specific bitcoin address, otherwise the deposit couldn't be assigned to the user's account.
You can identify the cold and hot wallets of an exchange and monitor the transactions going there. But these are not the addresses users deposit their bitcoins to directly. So you'd need to discover if your target exchange forwards the deposited bitcoins to its own wallets instantly (or at least very quickly).
Provided that you are able to identify the forwarding transaction to the exchange wallet before the deposit is credited to the user's account, you could possibly utilize that knowledge. But you would be making a lot of assumptions there: The deposit is made to dump the coins (not a swap), the exchange's deposit forwarding works in a predictable way, it's an actual deposit (not an internal transfer between wallets), etc.
As already pointed out, it is not a perfect science. Not at all.