High-frequency financial data are observations on financial variables taken daily or at

a finer time scale, and are often irregularly spaced over time. Advances in computer

technology and data recording and storage have made these data sets increasingly

accessible to researchers and have driven the data frequency to the ultimate limit

for some financial markets: time stamped transaction-by-transaction or tick-by-tick

data, referred to as ultra-high-frequency data by Engle (2000). For equity markets,

the Trades and Quotes (TAQ) database of the New York Stock Exchange (NYSE)

contains all recorded trades and quotes on NYSE, AMEX, NASDAQ, and the regional

exchanges from 1992 to present. The Berkeley Options Data Base recorded similar

data for options markets from 1976 to 1996. In foreign exchange markets, Olsen

Associates in Switzerland maintains a data base of indicative FX spot quotes for

many major currency pairs published over the Reuters’ network since the mid 1980’s.