Ané, Thierry; Ureche-Rangau, Loredana - IÉSEG School of Management, Université Catholique de Lille - 2004
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 (MDH) represents an intuitive and appealing explanation for the...