Big Data in Finance
Big data is revolutionizing the finance industry and has the potential to significantly shape future research in finance. This special issue contains articles following the 2019 NBER/ RFS conference on big data. In this Introduction to the special issue, we define the “Big Data” phenomenon as a combination of three features: large size, high dimension, and complex structure. Using the articles in the special issue, we discuss how new research builds on these features to push the frontier on fundamental questions across areas in finance – including corporate finance, market microstructure, and asset pricing. Finally, we offer some thoughts for future research directions.
Ye acknowledges support from National Science Foundation grant 1838183 and the Extreme Science and Engineering Discovery Environment (XSEDE). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.
Big Data in Finance, Itay Goldstein, Chester S Spatt, Mao Ye . in Big Data: Long-Term Implications for Financial Markets and Firms, Goldstein, Spatt, and Ye. 2021
Itay Goldstein & Chester S Spatt & Mao Ye, 2021. "Big Data in Finance," The Review of Financial Studies, vol 34(7), pages 3213-3225.