In recen t ly tw en ty years, academ ics at tach mo re w eigh t to the vo lum e research. Especially in term of info rm at ion, researchers believe that t rading vo lum e can p rovide info rm at ion independen t of the p rices. Bu t it st ill rem ain s an open quest ion as how to reconcile the vo lum e part in to the p rices. Th is paper system at ically review the ex isten t research on t rading vo lum e dom est ic and aboard, and indicates that as the cum u lat ive t rading vo lum e is a mono tonou sly increasing funct ion of t im e, t rading vo lum e con tain s no t on ly t im e value facto r ( as does t im e ) , bu t also con tain s such — 10 — 管 理 科 学 学 报 2002 年2 月 info rm at ion value facto rs as t rading co st s. Then, w e b ring fo rw ard the idea of vo lum e2driving p rice (VDP) and give the dynam ic analyt ic m ethod based on VDP and two m ethods to con st ruct t rading p rocess of p rices. W e po in t ou t that the t im e series under bo th the calendar t im e hypo thesis and the t rading t im e hypo thesis are pecu liar situat ion s of the t rading vo lum e hypo thesis. Th rough the emp irical research of 18 random cho sen stock s, it w as found that w ith low er o rders and few er param eters, th is model has h igher f it t ing capacity and exp lanato ry capacity.