We first present prima facie evidence for the predictions generated by the mixture of distributions hypothesis, using daily German stock returns and their corresponding daily trading volumes and number of trades. These last two variables are used as proxies for the stochastic rate of information...

The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted...