Yeh I'd guess electronic exchange financial time series have a lot of interesting dynamics at very fine detail because of high frequency trading, so it's a very different system than a power grid in that respect. And for the record I regard HFT as mostly being a wasteful activity that effectively amounts to a tax on using electronic exchanges - ok there's a fuzzy line between arbitrage (useful) and full on HFT (which is clearly pointless IMO).
I'm involved in very-unsexy not-Google-level smart grid research using machine learning. A Phasor Measurement Unit (PMU) like those being deployed in America takes sixty measurements a second for each signal, and this is in no way overkill for the granularity of information required.
