Macro Forecasting Using Alternative Data

48 Pages Posted: 18 Dec 2018 Last revised: 17 Sep 2019

See all articles by Apurv Jain

Apurv Jain

MacroXStudio; Harvard Business School; Microsoft Corporation - Microsoft Research - Redmond

Date Written: November 20, 2018

Abstract

Traditional macroeconomic data used by economic agents to make decisions are noisy, lack richness, and produced with considerable lag. This chapter explores how alternative, web-scale data sources (“Big Data”) can help. We present a case study using a common alternative data source- web search to predict one of the most important data releases- non-farm payrolls (NFP). We discuss the efficacy of various machine learning (ML) techniques, the live performance of alternative data prediction models and the typical problems faced in practice.

Keywords: Big Data, Macro Forecasting, Alternative Data, Non Farm Payrolls, Artifical Intelligence, Machine Learning

Suggested Citation

Jain, Apurv, Macro Forecasting Using Alternative Data (November 20, 2018). Available at SSRN: https://ssrn.com/abstract=3288033 or http://dx.doi.org/10.2139/ssrn.3288033

Apurv Jain (Contact Author)

MacroXStudio

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San Francisco, CA 94103
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HOME PAGE: http://www.macroxstudio.com

Harvard Business School ( email )

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Microsoft Corporation - Microsoft Research - Redmond ( email )

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