Hi patroclos,
Many MP3 players (including most Apple iPod models) have volume limiters built in to prevent the manufacturers being sued by customers who deafen themselves...... 
However, this does mean that the players will often fail to give sufficient output when connected to a home audio system, as they will not provide the voltage that the audio system is expecting to see (typically around 2 volts RMS). As you haven't mentioned the type of MP3 player you are using, you may wish to Google the your MP3 player, followed by the words "volume limiter" to see if your player is affected.
There will often be instructions on the net explaining how to bypass the volume limiter on your player.
As Peter says, you also need to check that you have the correct cable, although an incorrect cable will normally give you no output rather than low volume. Please get in touch with me if you need help finding the correct cable.
Best regards,
Steve.
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