Don’t Blindly Use Data: Towards a Data Statement for Computational Financial Research

In recent years, there has been a growing focus on the veracity of datasets. This concern has raised important questions such as: is the data appropriate for answering the research questions or hypotheses, is the data biased or harmful in any way, is the data quality data, and is there a sufficient understanding of the data for it to be used appropriately? We reviewed 46 papers from Google Scholar, IEEE, and ACM, and found that the majority of authors provide only a basic discussion of the dataset used in the research and do not address important issues such as potential bias or data that requires special attention. Following the work of Bender and Friedman, we propose a data statement framework specifically targeted to computational financial research to provide critical information to users. We also provide a completed data statement for published work as an example. This tool will help researchers provide users and stakeholders a better understanding of what comprises the data and provide an overview of what considerations were made in its creation. This will also help address any potential bias, errors or problems, and data that could be considered misleading in the context of the research.