TMI Snapshot: Optimism Surge on US-China Tensions View, China Macro Indicators, Limited Ant Impact

Ant IPO/ Imports/ Plenum/ US-China/ Census

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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

Multiple Countries / Cross Asset Strategy

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<li>TMI text-mines the global media for a large set of expressions covering various aspects of US-China and China-Taiwan frictions</li>
<li>Media coverage of China cybersecurity threats has been most closely correlated with the relative performance of SPY to FXI (China Large-Cap ETF) at 47% in the past year, with our indicator of China cybersecurity threat coverage recently hitting its highest level since late '18 at +2.2x STDEVs mid-August and accelerating again in the past 10 days</li>
<li>Our China-Taiwan Military Escalation indicator is now at its highest level since January '19 at +3x STDEVs; historically correlated with MSCI Taiwan relative performance, correlations have recently broken down but may mean-revert as tensions are growing</li>
<li>Market complacency is evident in Taiwanese equities as TMI analytics predict higher volatility ahead</li>
</ul>
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<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>
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TMI text-mines the global media for a large set of expressions covering various aspects of US-China and China-Taiwan frictions
Media coverage of China cybersecurity threats has been most closely correlated with the relative performance of SPY to FXI (China Large-Cap ETF) at 47% in the past year, with our indicator of China cybersecurity threat coverage recently hitting its highest level since late '18 at +2.2x STDEVs mid-August and accelerating again in the past 10 days
Our China-Taiwan Military Escalation indicator is now at its highest level since January '19 at +3x STDEVs; historically correlated with MSCI Taiwan relative performance, correlations have recently broken down but may mean-revert as tensions are growing
Market complacency is evident in Taiwanese equities as TMI analytics predict higher volatility ahead


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. 


China-Taiwan Tensions: TMI Lead Indicators Point To Escalating Risk Of Taiwan Vol Spike