Table 29 Granger-test on volatility-to-stop-loss orders at run length > 6
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 | 0.00833 | 0.92729 | 0.00000 | CANNOT reject the null hypothesis at 25% |
2 | 0.11251 | 0.89361 | 0.00000 | CANNOT reject the null hypothesis at 25% |
3 | 0.06385 | 0.97892 | 0.00000 | CANNOT reject the null hypothesis at 25% |
4 | 0.15505 | 0.96071 | 0.00000 | CANNOT reject the null hypothesis at 25% |