Ané, Thierry; Ureche-Rangau, Loredana - In: Journal of International Financial Markets, … 18 (2008) 3, pp. 216-235
Assuming that the variance of daily price changes and trading volume are both driven by the same latent variable measuring the number of price-relevant information arriving on the market, the mixture of distribution hypothesis represents an intuitive and appealing explanation for the empirically...