|Title of host publication||Encyclopedia of Quantitative Finance|
|Number of pages||6|
|Publication status||Published - 2010|
We introduce some of the most common types of high-frequency ﬁnancial data: tick-by-tick data, trade andquote data, order bookdata, andmarket member data. We describe the types of variables that are usually available in the most popular high-frequency ﬁnancial databases. We discuss the issues related to the handling of these data, including cleaning protocols, timing issues, and issues related to data size. We then brieﬂy consider the issues related to the stylized facts detected in the empirical analysis of high- frequency data. Speciﬁcally, we consider (i) the irregular temporal spacing of the events at high frequency and its relevance for the econometric modeling of ﬁnancial variables, (ii) the discreteness of the ﬁnancial variables under investigation, (iii) the problems related to proper deﬁnition of ﬁnancial variables, (iv) their daily periodicity, that is, typical intraday patterns, (v) their temporal correlations, for example, the bid–ask bounce and long memory properties, and (vi) problems related to the speciﬁcity of the market structure and rules.