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 > 7 |  |  |  |  |
1 | 13.00856 | 0.00034 | 0.17530 | REJECT the null hypothesis at 1% |
2 | 7.48942 | 0.00062 | 0.22547 | REJECT the null hypothesis at 1% |
3 | 5.54560 | 0.00094 | 0.24020 | REJECT the null hypothesis at 1% |
4 | 3.33697 | 0.01031 | 0.24406 | REJECT the null hypothesis at 1% |