Introducing TMI Data Science: Delivering Alpha With Custom NLP-Based Leading Indicators

Managing Director

Elan Gore

TMI Data Science

TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade & traditional media.  Our proprietary software, TMI Machine, is a text-mining platform designed with the buy-side & capital markets professional in mind, text-mining the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income & individual equities.  TMI provides custom leading indicators and systematic trading strategies, operating at the nexus of linguistics & statistics drawing on vast experience in investment banking and hedge fund settings in senior quantitative and fundamental roles.  

TMI Data Science was founded by Elan Gore, an award-winning Senior Global Basic Materials Equity Analyst & China Economist with 15 years of experience in North American hedge funds & institutional managers; and Alessandro Porrino, Ph.D., an Algorithmic Trading Analyst and Programmer with 10 years of front-office experience ranging from complex FX option pricing to auto-hedging strategies at Bank of America Merrill Lynch and Standard Chartered.  Mr. Gore holds an MBA in Finance from New York University Stern School of Business, and Mr. Porrino holds a Ph.D. in Systems Engineering from Brunel University London.

Cross Asset Strategy

China & United states / Cross Asset Strategy

<ul>
<li>Text-mining the global media, we find that improving relative and absolute sentiment on Nancy Pelosi has been leading markets given the importance of stimulus bill passage to the macro outlook</li>
<li>The "Peaceful Transition" or "Peaceful Transfer of Power" theme has been trending in the media, but to our surprise appears to be <em>positively </em>correlated with SPX, suggesting this risk is manifesting strictly in options markets for now</li>
<li>China cybersecurity threats, previously a strong driver of SPY/FXI relative performance, appear to have recently decoupled from equities in a manner which appears less friendly to Chinese equities, as the frequency of flare-ups is perceived to be structurally elevated</li>
</ul><div class="content-highlight"><p>TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


Text-mining the global media, we find that improving relative and absolute sentiment on Nancy Pelosi has been leading markets given the importance of stimulus bill passage to the macro outlook
The "Peaceful Transition" or "Peaceful Transfer of Power" theme has been trending in the media, but to our surprise appears to be positively correlated with SPX, suggesting this risk is manifesting strictly in options markets for now
China cybersecurity threats, previously a strong driver of SPY/FXI relative performance, appear to have recently decoupled from equities in a manner which appears less friendly to Chinese equities, as the frequency of flare-ups is perceived to be structurally elevated
TMI Data Science utilizes Natural Language Processing to build custom leading indicators using unstructured data sourced from the global financial, trade &amp; traditional media. Our proprietary software text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macroeconomics, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

TMIテーマ：ナンシー・ペロシ下院議長の支持率が市場を動かし、「平和的政権移行」への懸念が高まる