The Next Chapter of Big Data in Finance
这篇特刊文章总结了金融大数据领域的最新研究进展，涵盖大尺寸、高维度和复杂结构数据，并讨论了市场微观结构改革、中频交易、缺失数据填补和数据估值等新方向，适合关注金融数据应用的学者和从业者。
Abstract 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.