Big Data in Finance

Itay Goldstein, Chester S. Spatt & Mao Ye in this new NBER paper:

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.

Further:

The Digital Age has created mountains of data that continue to grow exponentially. The International Data Corporation estimates that the world generates more data every two days than all of humanity generated from the dawn of time to the year 2003. This “big data” revolution is reshaping the financial industry, as the Wall Street Journal writes: “Today, the ultimate Wall Street status symbol is a trading floor comprising Carnegie Mellon Ph.D.s, not Wharton M.B.A.s.”2 This industry transition has already started to affect the way we teach students. Along with the drop in the number of Master of Business Administration (MBA) programs, as well as the decline in applications and enrollment in MBA programs, 3 we see a surge of new programs such as Master of Business Analytics (also MBA).