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.

We study information sharing between strategic investors who are informed about asset fundamentals. We demonstrate that a coarsely informed investor optimally chooses to share information if his counterparty investor is well informed. By doing so, the coarsely informed investor invites the other investor to trade against his information, thereby reducing his price impact. Paradoxically, the well informed investor loses from receiving information because of the resulting worsened market liquidity and the more aggressive trading by the coarsely informed investor. Our analysis sheds light on phenomena such as private communications among investors and public information sharing on social media.