market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …

amplitude of these price variations to be market volatility and trade duration. By contrast, trade size and execution speed, as ….Conditional on trade duration, trade size is found to have little influence on price variations during execution. We find evidence … for a square-root dependence of price changes on duration rather than trade size and propose a simple explanation for this …