Nowcasting of Lumber Futures Price with Google Trends Index Using Machine Learning and Deep Learning Models

Firms engaged in producing, processing, marketing, or using lumber and lumber products always invest in futures markets to reduce the risk of lumber price volatility. The accurate prediction of real-time prices can help companies and investors hedge risks and make correct market decisions. This paper explores whether Internet browsing habits can accurately nowcast the lumber futures price. The predictors are Google Trends index data related to lumber prices. This study offers a fresh perspective on nowcasting the lumber price accurately. The novel outlook of employing both machine learning and deep learning methods shows that despite the high predictive power of both the methods, on average, deep learning models can better capture trends and provide more accurate predictions than machine learning models. The artificial neural network model is the most competitive, followed by the recurrent neural network model.