Big Data in Finance

Abstract

Big data is revolutionizing the finance industry and has the potential to significantly shape future research in finance. This special issue contains papers 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 papers 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.