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.
