Investments are crucial determinants of economic development and financial markets play an important role in market economies. Financial market is a marketplace where entities buy or sell financial securities like stocks, bonds, currencies, derivatives, etc. The major parameters describing financial instruments are return from investment and risk. There are different measures which are used to quantify both parameters which let us to evaluate investment efficiency of financial instruments and investment portfolios. Financial markets can be classified using different criteria such as nature of claim, maturity of claim, timing of delivery and organizational structure. Since last few year, the role of financial market has taken a drastic change, due to a number of factors which are low cost of transactions, high liquidity, investor protection, transparency in pricing information, adequate legal procedures for settling disputes, etc. Financial market analysis concerns financial instruments, portfolio and whole markets with trying to understand what has happened, what is currently happening, and what will happen in that marketplace. It is needed to recognize market mechanisms and to support investment decisions. The globalization processes and development of computer science and telecommunication have been affecting all financial markets in such a way that majority of them are closely connected, and new way of transaction, such as high frequency trading, have been appearing. Here the question arises how these new phenomena influence the financial markets and real economies. Therefore, current analysis of the situation observed on financial markets, development of new methodology and discussion about the current research seem to be crucial.