From: A theory of very short-time price change: security price drivers in times of high-frequency trading
Lag | F-value | p-value | Adj. R2 | Null hypothesis of NO Granger causation |
---|---|---|---|---|
Stop-loss assumed at run length > 10 |  |  |  |  |
1 | 14.44016 | 0.00017 | 0.21697 | REJECT the null hypothesis at 1% |
2 | 7.94687 | 0.00042 | 0.26988 | REJECT the null hypothesis at 1% |
3 | 5.45041 | 0.00112 | 0.28749 | REJECT the null hypothesis at 1% |
4 | 2.76547 | 0.02736 | 0.32958 | REJECT the null hypothesis at 1% |