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 …

The main goal of this paper is to gain insights into the dependence structure between the duration and trading volume … distribution) can be replaced by a logarithmic specification with more-flexible conditional distributions. The price duration and … trading volume associated with this duration exhibit dependence in the tails of distribution. We may conclude that high …

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …