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

<ul>
<li>Our text mining sees a post-election boost in general sentiment on Europe vis-à-vis Biden victory</li>
<li>COVID &amp; mobility differentials remain notably unfavorable for Europe; as expected, our sentiment indicators have deteriorated most for European retail &amp; manufacturing, while European Property remains positive</li>
<li>We recently picked up negative sentiment on the EU Recovery Fund, as multiple EU countries are signaling they are unlikely to tap the 360B EUR low-interest loan portion of the overall 750B EUR stimulus package; but the market may be perceiving this as a sign of resilience</li>
<li>Our EUR/USD lead indicator has also reverted back to neutral in the past week, as the EUR may have been spared from further weakness for the time being</li>
<li>Though we are not seeing multi-STDEV breakouts, our European indicators recognize the early innings of a positive change on the margin as the market digests the strategic and macro implications of a Biden presidency</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>


Our text mining sees a post-election boost in general sentiment on Europe vis-à-vis Biden victory
COVID &amp; mobility differentials remain notably unfavorable for Europe; as expected, our sentiment indicators have deteriorated most for European retail &amp; manufacturing, while European Property remains positive
We recently picked up negative sentiment on the EU Recovery Fund, as multiple EU countries are signaling they are unlikely to tap the 360B EUR low-interest loan portion of the overall 750B EUR stimulus package; but the market may be perceiving this as a sign of resilience
Our EUR/USD lead indicator has also reverted back to neutral in the past week, as the EUR may have been spared from further weakness for the time being
Though we are not seeing multi-STDEV breakouts, our European indicators recognize the early innings of a positive change on the margin as the market digests the strategic and macro implications of a Biden presidency
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 Snapshot:  Europe - Biden Era Vs. Macro Headwinds, Early Signs of Positive Change on the Margin