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 | 0.00266 | 0.95886 | 0.00000 | CANNOT reject the null hypothesis at 25% |
2 | 0.31532 | 0.72975 | 0.00000 | CANNOT reject the null hypothesis at 25% |
3 | 0.20240 | 0.89471 | 0.00000 | CANNOT reject the null hypothesis at 25% |
4 | 0.22671 | 0.92339 | 0.00000 | CANNOT reject the null hypothesis at 25% |