Nanex Research

Nanex ~ 25-Sep-2012 ~ Mandelbrot Quotes

On September 25, 2012, a 1 millisecond interval chart of quotes in the symbol VIIZ appeared somewhat like an image of the Mandelbrot Set (see Chart 3). Only 2 trades executed over the time periods shown below. A good deal of this quote noise occurred during very active trading (in other symbols).

1. VIIZ 1 second interval chart showing trades color coded by exchange and NBBO spread.

2. VIIZ 25 millisecond interval chart showing trades color coded by exchange and NBBO spread.

3. VIIZ 1 millisecond interval chart showing trades color coded by exchange and NBBO spread.

4. VIIZ 1 millisecond interval chart showing trades color coded by exchange and NBBO spread.

5. VIIZ 1 second interval chart showing the 2 trades.

6. VIIZ 1 second interval chart showing trades color coded by exchange and NBBO spread.

7. VIIZ 100 millisecond interval chart showing trades color coded by exchange and NBBO spread.

8. VIIZ 2 millisecond interval chart showing trades color coded by exchange and NBBO spread.

9. VIIZ 25 millisecond interval chart showing trades color coded by exchange and NBBO spread.

10. VIIZ 2 millisecond interval chart showing trades color coded by exchange and NBBO spread.

11. VIIZ - Nanex Tick Chart.

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