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.

中文翻译：

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金融大数据

大数据正在彻底改变金融业，并有可能对未来的金融研究产生重大影响。本期特刊包含 2019 年 NBER-RFS 大数据会议之后的论文。在本期特刊介绍中，我们将“大数据”现象定义为三个特征的组合：大尺寸、高维度和复杂结构。利用特刊中的论文，我们讨论了新研究如何基于这些特征来推动金融领域基本问题的前沿，包括公司金融、市场微观结构和资产定价。最后，我们对未来的研究方向提出一些想法。