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The ICMA Centre at Henley Business School hosted the first edition of the Econometrics and Financial Data Science conference on 2 November 2017. Financial data science is an emerging field that uses novel datasets and technologies made possible through recent advances in computer science to answer important financial questions. The workshop drew together academics and practitioners to discuss key issues around this area. The participants came from different institutions, such as the VU University Amsterdam, Toulouse Business School, University College Dublin, Loughborough University and the University of Stirling. Attendants shared their knowledge about all areas of finance, including bankruptcy and financial distress, corporate governance, and the impact of politicians on company prices.