The Next Chapter of Big Data in Finance

• 成果类型: Article
• 署名作者: Goldstein, Itay; Spatt, Chester S.; Ye, Mao
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Carnegie Mellon University; Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae083
• 发表日期: 2025
• 页码: 605
• 关键词: liquidity; signals; volume; trades; fees

摘要

The second special issue on big data in finance showcases advancements in research related to data of large size, high dimension, and complex structure since the first NBER/RFS big data conference. The papers published in this next chapter address some questions that were proposed in the initial special issue in 2021. Other papers are more directly connected to recent developments in the markets. We discuss some new research directions, following on the papers published here. They include evaluating market microstructure reforms, understanding medium-frequency trading, improving missing data imputations, and deepening data valuation. We look forward to more developments to follow.