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-mined EUR Leading Indicator has recently crossed into negative territory, driven primarily by COVID-19 second wave news and expectations of further ECB easing</li>
<li>While the knee-jerk pushback would be to suggest that the US second wave is equally threatening and the size of potential US stimulus significantly larger, the reality is that Europe-wide COVID-19 cases per million have been exceeding the US equivalent since October 16 (on a 7DMA basis), relative EU mobility has suffered, and US stimulus has been delayed</li>
<li>Despite net short DXY positioning reversing quite sharply, the EUR net long remains oustandingly elevated</li>
<li>We find that general USD-negative expressions in the global financial media have been declining sharply in recent weeks and are now at levels last seen in April</li>
<li>With potentially stale positioning and greater uncertainty in the final stretch ahead of US elections, the giant EUR net long is at risk of being unwound</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-mined EUR Leading Indicator has recently crossed into negative territory, driven primarily by COVID-19 second wave news and expectations of further ECB easing
While the knee-jerk pushback would be to suggest that the US second wave is equally threatening and the size of potential US stimulus significantly larger, the reality is that Europe-wide COVID-19 cases per million have been exceeding the US equivalent since October 16 (on a 7DMA basis), relative EU mobility has suffered, and US stimulus has been delayed
Despite net short DXY positioning reversing quite sharply, the EUR net long remains oustandingly elevated
We find that general USD-negative expressions in the global financial media have been declining sharply in recent weeks and are now at levels last seen in April
With potentially stale positioning and greater uncertainty in the final stretch ahead of US elections, the giant EUR net long is at risk of being unwound
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: Potential Downside to EUR on Relative COVID Acceleration & Elevated Positioning