Please use this identifier to cite or link to this item: https://doi.org/10.1088/1469-7688/3/3/304
Title: A nonparametric test of the mixture-of-distributions model
Authors: Fong, W.M. 
Lab-Sane, W.F.
Issue Date: 2003
Source: Fong, W.M., Lab-Sane, W.F. (2003). A nonparametric test of the mixture-of-distributions model. Quantitative Finance 3 (3) : 184-194. ScholarBank@NUS Repository. https://doi.org/10.1088/1469-7688/3/3/304
Abstract: Intertemporal implications of the mixture-of-distributions hypothesis (MDH) are derived based on the concept of time reversibility in statistical mechanics. The restrictions are tested using simple nonparametric tests that do not impose auxiliary assumptions on the stochastic process for trading volume, price volatility or information arrivals. The tests reject the standard MDH with one latent factor. In particular, shocks to volatility and volume are temporally asymmetric, contrary to the predictions of the MDH. The results indicate that multifactor models are needed to explain the dynamics of the volume-volatility relation.
Source Title: Quantitative Finance
URI: http://scholarbank.nus.edu.sg/handle/10635/44460
ISSN: 14697688
DOI: 10.1088/1469-7688/3/3/304
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