Table 28 Granger-test on volatility-to-stop-loss orders at run length > 7
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 | 0.60693 | 0.43629 | 0.00000 | CANNOT reject the null hypothesis at 25% |
2 | 0.45862 | 0.63241 | 0.00000 | CANNOT reject the null hypothesis at 25% |
3 | 0.33869 | 0.79737 | 0.00000 | CANNOT reject the null hypothesis at 25% |
4 | 0.29109 | 0.88378 | 0.00000 | CANNOT reject the null hypothesis at 25% |