Using Google Search Trends to Predict Initial Jobless Claims

For several years now, my focus has been on using alternative data of many kinds to predict macroeconomic statistics. When ran the Futures Group for the PDT Group at Morgan Stanley in the 1990’s I became a data omnivore and a data pack rat, taking everything I could find and storing it in case it became a useful predictor of the things we cared about. In that era, my focus was on fairly short-term price movements (daily or higher frequency), but over the last decade I’ve come to focus on longer term, more fundamental, prediction. My approach, when I find…...