Big data in finance: Evidence and challenges
Abstract I review the literature on the use of big data sets in finance. While big data and machine learning are exciting fields, there is a danger that we get carried away by the novelty of the topics but pay less attention to the reliability of the academic evidence. Following my review, I argue that big data based evidence should be held to the same academic standards as the rest of the finance academic literature if we are to provide useful advice to finance practitioners.