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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

United states & China / Cross Asset Strategy

<ul>
<li>Our text-mined CNY diffusion index, which measures the relative momentum of Yuan-positive vs. Yuan-negative expressions in the global financial media, is showing signs of peaking</li>
<li>News attribution suggests this is a result of the debate over Chinese FX intervention given the backdrop of tightening domestic financial conditions (and concerns over property sector leverage)</li>
<li>When optimizing a trading strategy based on the CNY diffusion index, the signal has now turned neutral on CNY; conversely, the levels of momentum on the indicator seen in September have been previously associated with negative returns on FXI and A-Shares</li>
<li>In the US, our indicators suggest the recent spike in inflation breakevens is mostly a function of surging Biden victory expectations, less so due to persistent stimulus chatter, and unlikely a function of a particularly buoyant earnings season</li>
</ul>


Our text-mined CNY diffusion index, which measures the relative momentum of Yuan-positive vs. Yuan-negative expressions in the global financial media, is showing signs of peaking
News attribution suggests this is a result of the debate over Chinese FX intervention given the backdrop of tightening domestic financial conditions (and concerns over property sector leverage)
When optimizing a trading strategy based on the CNY diffusion index, the signal has now turned neutral on CNY; conversely, the levels of momentum on the indicator seen in September have been previously associated with negative returns on FXI and A-Shares
In the US, our indicators suggest the recent spike in inflation breakevens is mostly a function of surging Biden victory expectations, less so due to persistent stimulus chatter, and unlikely a function of a particularly buoyant earnings season


Shanghai Shenzhen CSI 300 Index (SHSZ300 INDEX EQUITY)

TMI Thematics:  CNY Momentum Peaking? / Blue Wave Drives US Inflation Expectations, Not Earnings