Microstructure Models with Short-Term Inertia and Stochastic Volatility

Table 9

Bayes factor for ingestion time determination, April 2010.

	Heston	mins	hrs	1/2 day
GS ()	1.000	15.083	17.578	18.100
PEP ()	1.000	19.066	25.259	24.187
IBM ()	1.00	31.152	42.744	46.988

Without dynamics.