The abundance of high-frequency financial data and the rapiddevelopment of computer hardware have combined to transformfinancial economics into, arguably, the most empirically orientedfield within the social sciences. At the same time, as a result ofthe difficulty of conducting genuine market experiments, empiricalfinance remains firmly grounded in the tradition of model-drivenstatistical inference that is characteristic of economics. Even so,the richness of data has often spurred a practical orientation thatis more familiar in the natural sciences. The combination has provedfertile, leading to the classification of a set of loosely connectedempirical topics as a distinct entity, financialeconometrics.