The development of high frequency data bases allows for empirical investigations of a wide range of issues in the financial markets. In this paper, we set out some of the many important issues connected with the use, analysis, and application of high-frequency data sets. These include the effects of market structure on the availability and interpretation of the data, methodological issues such as the treatment of time, the effects of intra-day seasonals, and the effects of time-varying volatility, and the information content of various market data. We also address using high frequency data to determine the linkages between markets and to determine the applicability of temporal trading rules. The paper concludes with a discussion of the issues for future research.
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