In the past decade, there has been a radical improvement in the availability of high-frequency financial data, not just on stocks and bonds in say the US exchanges, but on markets of all scales and locations. This is a book-length treatment describing treatment of high frequency tick-by-tick currency transaction data. One can imagine an N by D array with D variables giving a dozen or so exchange rates of foreign currencies to the dollar, while N time samples (with N large) give the exchange rates on time scales of the very fine, extending perhaps for a very long period of time.This is the classic “curse of Dimensionality” and this book covers the state of the art, in 1989, of dealing with high-dimensional data.Well, this in many ways is the Ur-text of the field, and when everyone is cobbling together stone-super computers with many nodes, it is somewhat computationally more tractable to handle higher dimensions, but the best method remains compression, collapsing, and nearest neighbor methods.This remains a valuable book, but in many respects, in a world where Citadel and Renaissance Technologies are light years ahead of what is on offer here, you’d have to have rocks in your head to deploy this with real money.