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

<ul>
<li>TMI's text-mined India Lead Indicator has jumped to +1.5x STDEVs, highest reading since 11/2019; our indicator is equally comprised of macro components &amp; domestic corporate drivers</li>
<li>Just as the US and Europe are seeing a surge in COVID-19 cases, India has seen an encouraging -32% decline in the past month from a 7DMA new case count of 93K/day mid-September to the most recent reading of 63K/day; positive impact on mobility is already noticeable</li>
<li>Our RBI sentiment indicator surged to +1.6x STDEV as the central bank stated it will "look through" transitory inflationary supply shocks, pledging a prolonged accommodative policy stance while doubling down on open market operations and announcing new sector-specific TLTROs</li>
<li>While macro sentiment is the key catalyst, we also see an incipient recovery in corporate sentiment evidenced in positive news flow such as the sequential headcount increase at the likes of TCS, Infosys and Wipro</li>
<li>Our India Lead Indicator has been 80% correlated with the iShares MSCI India ETF with a slight lead in the T12M</li>
<li>At this point, our sentiment-based India indicators appear to be ahead of other Asian jurisdictions across most vectors</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>


TMI's text-mined India Lead Indicator has jumped to +1.5x STDEVs, highest reading since 11/2019; our indicator is equally comprised of macro components &amp; domestic corporate drivers
Just as the US and Europe are seeing a surge in COVID-19 cases, India has seen an encouraging -32% decline in the past month from a 7DMA new case count of 93K/day mid-September to the most recent reading of 63K/day; positive impact on mobility is already noticeable
Our RBI sentiment indicator surged to +1.6x STDEV as the central bank stated it will "look through" transitory inflationary supply shocks, pledging a prolonged accommodative policy stance while doubling down on open market operations and announcing new sector-specific TLTROs
While macro sentiment is the key catalyst, we also see an incipient recovery in corporate sentiment evidenced in positive news flow such as the sequential headcount increase at the likes of TCS, Infosys and Wipro
Our India Lead Indicator has been 80% correlated with the iShares MSCI India ETF with a slight lead in the T12M
At this point, our sentiment-based India indicators appear to be ahead of other Asian jurisdictions across most vectors
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 Indicators: India Indicators Rise On COVID-19 Trends, RBI Policy Shift and Corporate Optimism