Nanex Research
Nanex ~ 11-Sep-2013 ~ Another 4% Mega-Cap Stock (AZN) Move
On September 11, 2013 at 13:59:44, another mega-cap stock, AstraZeneca PLC (symbol:
AZN, market cap: $63 Billion), rocketed nearly 4% and back in seconds.
A
new academic study explains why these events occur.
1. AZN - Trades color coded by reporting exchange and NBBO (gray shade).
2. AZN - Bids and asks color coded by reporting exchange and NBBO (gray shade).
Amazingly, there were 8 quotes for every trade. That is, high frequency traders placed
and canceled at least 8 orders for every trade execution. That is madness.
3. AZN - Best bids and asks color coded by reporting exchange and NBBO (gray shade).
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