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Title: The modified mixture of distributions model: A revisit
Authors: Fong, W.M. 
Wong, W.K.
Keywords: Mixture of distributions
Trading volume
Issue Date: 2006
Citation: Fong, W.M.,Wong, W.K. (2006). The modified mixture of distributions model: A revisit. Annals of Finance 2 (2) : 167-178. ScholarBank@NUS Repository.
Abstract: Andersen (J Financ 51, 169-204 (1996)) introduced a modification of the mixture of distributions model based on microstructure arguments. Based on a small sample of five stocks, he infers that this modified mixture of distributions (MMD) model adequately captures the joint behavior of trading volume and volatility. We re-examine this claim using a larger sample of twenty-two stocks and two sample periods. Our tests show that 59% of the sample rejects the MMD model in the period 1973-1991, the same period studied by Andersen. Results for the second period (1993-1999) are more supportive of the MMD, especially for number of trades, although nearly one-third of the sample still rejects the MMD. We conclude that further tests are needed before the general validity of the MMD can be established. © Springer-Verlag 2005.
Source Title: Annals of Finance
ISSN: 16142446
DOI: 10.1007/s10436-005-0027-6
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