Since I use Neo4j 3.0.1, this cypher query:
USING PERIODIC COMMIT 500
LOAD CSV WITH HEADERS
FROM >\"file:///home/user/Documents/links.csv\" AS csvLi
This is a security that has been integrated in neo4j 3.0 in order to prevent scripts to load sources from an unwanted directory (like /etc/password for example.
You can add the following setting in conf/neo4j.conf in order to bypass this :
dbms.security.allow_csv_import_from_file_urls=true
Or just put your csv files in the import directory.