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.

Quantitative Analysis

Japan Industrials / Quantitative Analysis

<p>TMI's suite of text-mined Japanese indicators, derived from both English-language and Japanese-language coverage of macro &amp; corporate newsflow, saw robust improvement in sentiment through mid-July but took a short break earlier in the summer as JPY strength threatened to derail the manufacturing recovery.  As the drumbeat of value rotation trended sharply higher in August, Japan saw surprisingly lasting positive impact from this factor, while the JPY's tighter range helped assuage fears.   August macro data is already hinting at better-than-expected resilience, while our indicators have generally resumed their climb back towards pre-COVID levels.</p>

TMI's suite of text-mined Japanese indicators, derived from both English-language and Japanese-language coverage of macro &amp; corporate newsflow, saw robust improvement in sentiment through mid-July but took a short break earlier in the summer as JPY strength threatened to derail the manufacturing recovery.  As the drumbeat of value rotation trended sharply higher in August, Japan saw surprisingly lasting positive impact from this factor, while the JPY's tighter range helped assuage fears.   August macro data is already hinting at better-than-expected resilience, while our indicators have generally resumed their climb back towards pre-COVID levels.

TMI Indicators:  Japanese Sentiment Recovery Resumes With Value Rotation As JPY Spike Fears Subside