High frequency data refers to time-series data collected at an extremely fine scale. As a result of advanced computational power in recent decades, high frequency data can be accurately collected at an efficient rate for analysis.[1] Largely used in the financial field, high frequency data provides observations at very frequent intervals that can be used to understand market behaviors, dynamics, and micro-structures.[2]
High frequency data collections were originally formulated by massing tick-by-tick market data, by which each single 'event' (transaction, quote, price movement, etc.) is characterized by a 'tick', or one logical unit of information. Due to the large amounts of ticks in a single day, high frequency data collections generally contain a large amount of data, allowing high statistical precision.[3] High frequency observations across one day of a liquid market can equal the amount of daily data collected in 30 years.[3]