{"id":"W2160178006","doi":"10.1155/2015/323475","title":"Microstructure Models with Short-Term Inertia and Stochastic Volatility","year":2015,"lang":"en","type":"article","venue":"Mathematical Problems in Engineering","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"University of Alberta","funders":"","keywords":"Stochastic volatility; Volatility (finance); Econometrics; Market microstructure; Bayes' theorem; SABR volatility model; Heston model; Bayes factor; Inertia; Mathematics; Term (time); Economics; Bayesian probability; Statistics; Physics; Finance","routes":{"ca_aff":true,"ca_fund":false,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002393506,0.0007664648,0.001351874,0.001059672,0.000326372,0.002527059,0.00181769,0.001862756,0.001407101],"category_scores_gemma":[0.01012284,0.00088718,0.001318157,0.0009972046,0.001602003,0.003947967,0.001133808,0.001713249,0.0002427855],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0009953694,"about_ca_system_score_gemma":0.0007187462,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.003627417,"about_ca_topic_score_gemma":0.00251074,"domain_scores_codex":[0.9989616,0.0003405825,0.00007610656,0.000249055,0.000223724,0.0001489416],"domain_scores_gemma":[0.9934562,0.003329708,0.001809806,0.0007950726,0.0003705423,0.0002386254],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0001183244,0.00006720001,0.009614911,0.0000757602,0.0001589297,0.0003806873,0.0002708011,0.4456303,0.003045893,0.5284429,0.001019433,0.01117494],"study_design_scores_gemma":[0.00001568383,0.000030668,0.002263543,0.000009917038,0.00001966147,0.00008106539,0.00001831158,0.8897386,0.0002079145,0.1069841,0.0006015149,0.00002910264],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.3173732,0.0009195923,0.6756988,0.001143272,0.0001262981,0.00007165061,0.0007270385,0.0002641688,0.003676041],"genre_scores_gemma":[0.9713595,0.0006542856,0.02376013,0.0001037018,0.0001805002,0.00008067117,0.0004646812,0.00003385,0.003362715],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.003627417,"threshold_uncertainty_score":0.01265818,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.03260796329618637,"score_gpt":0.2051085772141684,"score_spread":0.172500613917982,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}