Microstructure Models with Short-Term Inertia and Stochastic Volatility

Table 10

Bayes factor for inertia determination, April 2010.

PEP ( hrs)	1.00	3.745	5.875	6.950	11.693	16.733
GS (1/2 day)	1.00	11.578	13.507	16.194	17.746	18.100
IBM (1/2 day)	1.00	3.822	7.100	8.816	10.927	13.522
PEP ( hrs)	23.524	25.259	24.386	22.322	19.347	17.548
GS (1/2 day)	17.878	17.184	16.515	16.225	16.008	15.612
IBM (1/2 day)	16.707	20.611	25.388	31.225	38.345	46.988

Without dynamics.