Generative Adversarial Networks and Natural Language Processing for Macroeconomic Forecasting
Abstract: Macroeconomic forecasting is a classic problem, today most often modeled using time series analysis. Few attempts have been made using machine learning methods, and even fewer incorporating unconventional data, such as that from social media. In this thesis, a Generative Adversarial Network (GAN) is used to predict U.S. unemployment, beating the ARIMA benchmark on all horizons. Furthermore, attempts at using Twitter data and the Natural Language Processing (NLP) model DistilBERT are performed. While these attempts do not beat the benchmark, they do show promising results with predictive power. The models are also tested at predicting the U.S. stock index S&P 500. For these models, the Twitter data does improve the accuracy and shows the potential of social media data when predicting a more erratic index with less seasonality that is more responsive to current trends in public discourse. The results also show that Twitter data can be used to predict trends in both unemployment and the S&P 500 index. This sets the stage for further research into NLP-GAN models for macroeconomic predictions using social media data.
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