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


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: or

Apurv Jain (Contact Author)


981 Mission st.
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Harvard Business School ( email )

Soldiers Field Road
Morgan 270C
Boston, MA 02163
United States

Microsoft Corporation - Microsoft Research - Redmond ( email )

Building 99
Redmond, WA
United States

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