文章基本信息

标题：The structure of contemporaneous price-volume relationships in financial markets
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作者：Henryk Gurgul ; Robert Syrek
期刊名称：Ekonomia Menedzerska (älter als 2 Jahre)
印刷版ISSN：1898-1143
出版年度：2013
卷号：14
页码：39-60
DOI：10.7494/manage.2013.14.39
出版社：Akademia Górniczo-Hutnicza
摘要：The learning of price-volume dependencies is important, because it enablesto get an insight into the structure of financial markets, and into the informationarrival process. In addition, one can learn how information is disseminated amongmarket participants.There are two competitive hypotheses: the Mixture of Distribution Hypothesis(MDH hereafter) [1, 5, 8, 26] and the Sequential Information Arrival Hypothesis[6, 13]. While MDH implies contemporaneous price-volume relationships theSequential Information Arrival Hypothesis assumes dynamic, causal dependenceprice-trading volume.