Data Science student trying to understand what industry and companies to pursue

Current junior studying data science at a top 15 university for data science (CS program is elite, so the data science program seems to have a good reputation by osmosis, average starting salary of new grads and internship placement would suggest this as well). > 3.7 GPA in college and generally pretty smart (98th percentile standardized scores throughout high school and can articulate and understand some complex statistical and math concepts at least somewhat well). I have very little experience and information about the finance industry and am wondering advice on what type of career would be best suited for me and what companies would I have a real shot at getting an internship and FT offer at. I read very consistently (mainly history, cognitive psychology, some stats - favorite books are The Black Swan, Thinking Fast and Slow, Blink for general feel of what I read) and like to self-teach myself a variety of subjects so I feel like I satisfy the intellectually curious component of these types of industries which seems to be a necessity. I have some professional experience through my university so it's not like my resume is completely bare bones, but I have no illusions that I would most likely have to do well on interviews to compensate for less experience than most candidates. I am Midwest based, so I'm assuming that Chicago would be my best chance. Any advice would be appreciated.