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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

<ul>
<li>Despite ongoing headlines on slow vaccine rollouts and potential vaccine shortages in the first 3 weeks of January, overall sentiment on vaccine rollouts appears to be improving on the margin and negative coverage of the slow rollout has stabilized; this appears to be loosely correlated with price moves in WTI</li>
<li>Coverage of the vaccine hesitancy issue has been slowing since December; recent survey data suggests that while some geographic disparities remain, the hesitancy rate is dropping across the board</li>
<li>While seemingly spurious, the multi-STDEV January spike in coverage of the slow vaccine rollout appeared to coincide with the peak in EUR/USD; this is also reflected in action in our Eurozone macro sentiment indicator</li>
<li>Data remains volatile, but the past week's early signs of decline in negative vaccine rollout coverage is encouraging; further confirmation would go a long way in boosting some of the reflation trades paused in January (for example, Global Materials down -5% since January 7, same as the value-over-growth trade) with positive implications for the expected magnitude and timing of the mobility recovery</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 tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macro, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. </p></div>


Despite ongoing headlines on slow vaccine rollouts and potential vaccine shortages in the first 3 weeks of January, overall sentiment on vaccine rollouts appears to be improving on the margin and negative coverage of the slow rollout has stabilized; this appears to be loosely correlated with price moves in WTI
Coverage of the vaccine hesitancy issue has been slowing since December; recent survey data suggests that while some geographic disparities remain, the hesitancy rate is dropping across the board
While seemingly spurious, the multi-STDEV January spike in coverage of the slow vaccine rollout appeared to coincide with the peak in EUR/USD; this is also reflected in action in our Eurozone macro sentiment indicator
Data remains volatile, but the past week's early signs of decline in negative vaccine rollout coverage is encouraging; further confirmation would go a long way in boosting some of the reflation trades paused in January (for example, Global Materials down -5% since January 7, same as the value-over-growth trade) with positive implications for the expected magnitude and timing of the mobility recovery
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 tool text-mines the global media to discern and quantify nuanced qualitative shifts in press coverage as they apply to macro, equity indexes/ETFs, commodities, currencies, fixed income &amp; individual equities. 

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