books.google.ch - Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental...http://books.google.ch/books/about/An_Introduction_to_High_Frequency_Financ.html?hl=de&id=dobO95EBcqsC&utm_source=gb-gplus-shareAn Introduction to High-Frequency Finance
