The book "Econometric Modelling of Stock Market Intraday Activity" offers a comprehensive analysis of developments in applied econometrics, particularly in the fields of financial econometrics and time series analysis. It highlights the advancements made in research over the past 25 years and discusses significant models such as Engle's ARCH model and Taylor's stochastic volatility model. These models have revolutionized the way volatility is modeled in financial markets and provide valuable insights into the dynamics of stock markets. The book is aimed at professionals and students who wish to gain a deeper understanding of econometric methods and their application to intraday stock activities. It covers not only the modeling of volatility but also other relevant topics such as factor models and the relationship between present value and interest rate structure.