In many quantitative social sciences, a lack of data is often
cited as a serious problem that prevents testing a theory or
hypothesis of interest.
This is rarely a concern in the context of finance
applications.
For example, the data may be intra-daily data on trades
comprising a record of every single trade in a specific
stock.
Or the data could comprise daily or weekly data on
individual stocks and consist of the opening price on the
day (or week) and the corresponding closing price.