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 > 6 |  |  |  |  |
1 | 13.46431 | 0.00026 | 0.10511 | REJECT the null hypothesis at 1% |
2 | 6.63166 | 0.00141 | 0.18795 | REJECT the null hypothesis at 1% |
3 | 4.79999 | 0.00259 | 0.19730 | REJECT the null hypothesis at 1% |
4 | 4.53995 | 0.00128 | 0.25952 | REJECT the null hypothesis at 1% |