Table 30 Granger-test on volatility-to-stop-loss orders at run length > 5
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 > 5 |  |  |  |  |
1 | 0.00168 | 0.96727 | 0.00000 | CANNOT reject the null hypothesis at 25% |
2 | 0.28135 | 0.75484 | 0.00000 | CANNOT reject the null hypothesis at 25% |
3 | 0.38169 | 0.76623 | 0.00000 | CANNOT reject the null hypothesis at 25% |
4 | 0.29139 | 0.88245 | 0.00000 | CANNOT reject the null hypothesis at 25% |