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 > 9 |  |  |  |  |
1 | 0.37895 | 0.53850 | 0.00000 | CANNOT reject the null hypothesis at 25% |
2 | 0.43564 | 0.64714 | 0.00000 | CANNOT reject the null hypothesis at 25% |
3 | 0.42503 | 0.73516 | 0.00000 | CANNOT reject the null hypothesis at 25% |
4 | 0.28310 | 0.88891 | 0.00000 | CANNOT reject the null hypothesis at 25% |