Big data in finance: Evidence and challenges

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.