BRAIN is a Research Company that creates proprietary datasets and algorithms for investment strategies, combining experience on financial markets with strong competences in Statistics, Machine Learning and Natural Language Processing. 

BRAIN also supports Clients in developing, optimizing and validating their own proprietary models.



BRAIN

BRAIN has developed several proprietary signals and datasets leveraging a software platform which combines Natural Language Processing and Machine Learning algorithms with rigorous statistical approaches.

BRAIN Platform also enables Clients to integrate state of the art approaches in their strategies. All software is highly customizable to embed the specific investment approach of our Clients.

Our proprietary models are supported by software solutions that enable the deployment in a robust production environment.

By selling its proprietary datasets and signals BRAIN is a player in the Alternative Data ecosystem.

BRAIN also developed proprietary strategies for asset allocation using as input conventional and Alternative Data.

BRAIN PRODUCTS

Dynamic Volatility Signal

BRAIN SENTIMENT
INDICATOR

The Brain Sentiment Indicator (BSI) measures the “mood” on more than 10000 global stocks, major currencies, commodities and crypto based on the analysis of financial news using Natural Language Processing techniques. As a free trial we provide approximately five years of history for a subset of assets and upon request a 30 days access to the daily report corresponding to the full universe.

Brain Sentiment Indicator

BRAIN MACHINE LEARNING 
STOCK RANKING

Brain Machine Learning proprietary platform is exploited to generate a daily stock ranking based on the predicted future returns of a universe of 1000 stocks on four time horizons: 2, 3, 5, 10 and 21 days (other time horizons could be developed and tested upon request). The model implements a series of techniques to reduce the well-known overfitting problem for financial data.

Brain Market Sentiment

BRAIN MARKET SENTIMENT

Brain Market Sentiment (BMS) provides a daily a score on the general mood of the market by automatically clustering by topic thousands of news from most popular financial media. The sentiment of each topic is calculated using Brain proprietary Natural Language Processing platform.. The BMS provides an aggregate score for the news topic sentiment of the current day. 

Brain Thematic Baskets

RISK ON / RISK OFF SIGNALS

Risk ON / Risk OFF signals based on VIX statistical indicators (Dynamic Volatility Signal) and including measures of financial stress indicators and macro-economic environment (Brain Dynamic Allocation Indicator). Portfolio strategies based on these signals are implemented: the strategies toggle between two dynamic portfolios, each of which is monthly rebalanced.

Clustering of Market Scenarios

CLUSTERING OF MARKET SCENARIOS

With Unsupervised Machine Learning techniques our algorithms identify non trivial patterns among a large number of financial and macroeconomic data to find days in the past which are “similar" to the current scenario. Investment models can be built by analyzing the performance of various financial instruments on the market clusters identified by the system.

Stock Selection Model

BRAIN THEMATIC BASKETS

Algorithm-based selection among a large database of companies of a basket of stocks whose business is related to a specific theme (es. "nanotechnology"). The selection is performed by analyzing company public documents and web pages by leveraging on natural language processing and machine learning classifications and clustering techniques.

Brain Market Sentiment

BRAIN LANGUAGE METRICS ON COMPANY FILINGS

The Brain Language Metrics (BLM) on Company Filings dataset has the objective of monitoring several language metrics on 10-Ks and 10-Qs company reports for 6000+ US stocks. Some examples of such metrics are financial sentiment, percentage of words belonging to financial domain classified by language types (e.g. “litigious” language), similarity between documents. The analysis is available for the whole report and for specific sections (e.g. Risk Factors and MD&A).

Brain Thematic Baskets

LANGUAGE ANALYSIS OF EARNINGS CALLS

Brain has developed a method to analyze the sentiment and various language complexity metrics of earnings calls transcripts. Each call is divided in the main parts (Management, Q&A) and actors (Managers, Analysts); for each piece the metrics are calculated and a correlation score is evaluated between such metrics (sentiment, readability scores, lexical metrics) and the average future return of a company.

Clustering of Market Scenarios

MARKET MONITOR DASHBOARD

Brain Market Monitor Dashboard allows the monitoring of markets through Brain proprietary signals and a snapshot of Brain alternative datasets.
This a very useful tool for the investor to augment its awareness in the decision process with a complementary view to common market data.

Stock Selection Model

ALTERNATIVE DATA VALIDATOR

Brain leverages its proprietary Machine Learning infrastructure for the validation of alternative datasets; given a new dataset we are going to integrate this into our existing machine learning model for stock ranking and during the procedure we will evaluate a series of validation metrics to assess if the new data brings alpha.

BRAIN THEMATIC BASKETS

Brain Thematic Baskets engine uses Natural Language Processing and Machine Learning techniques to select companies with a relevant exposure to a specific theme by analyzing thousands of pages of company public documents. A series of live baskets focused on specific themes is reported below with related metrics.

BRAIN CYBERSECURITY
THEMATIC BASKET

Brain Cybersecurity Basket is built to select companies focused on protecting enterprises and electronic devices from unauthorized activities through specific software and other electronic means. 

Cybersecurity
Cybersecurity

BRAIN 3D PRINTING
THEMATIC BASKET

Brain 3D Printing Basket selects Companies focused on either producing 3D printers or creating specialized components, including the modelling software for 3D printers for all applications.

3D Printing
3D Printing

BRAIN CELL THERAPY
THEMATIC BASKET

Brain Cell Therapy Thematic Basket selects companies focused on the application of cell therapy to cure patients in which viable cells are injected, grafted or implanted in order to effectuate a medicinal effect.                    

Cell Therapy
Cell Therapy

BRAIN NANOTECHNOLOGY
THEMATIC BASKET

Brain Nanotechnology Thematic Basket selects companies focused on technologies that enable or perform manipulation of materials at a nano- or microscale for applications in electronics, energy, biomedicine, environment and others.

Nanotechnology
Nanotechnology

BRAIN TECHNOLOGIES

Proprietary technologies  that constitutes the engine of Brain Products

Natural Language Processing

NATURAL LANGUAGE PROCESSING

Brain products and solutions leverage on Natural Language Processing techniques (NLP) to extract from structured and unstructured texts meaningful metrics such as sentiment, language complexity and topics. In the context of NLP we use various machine learning techniques to assess the relevance of a company document (e.g. text extracted from web site) with respect to a specific theme (es. “nanotechnology” or “robotics”) or to identify the relevant topics in documents.

Supervised Machine Learning

SUPERVISED MACHINE LEARNING

Brain has developed a set of Machine Learning and financial features engineering tools aiming at providing inference on the markets. Our models yield statistical predictions on targets such as assets returns; using ensemble machine learning models we can calculate probabilities associated to the spectrum of predictions. These tools can be used as building bricks for investment strategies or for proprietary and third parties’ portfolio models.                                                                                                     

Mobirise

UNSUPERVISED
MACHINE LEARNING

Brain combines various clustering algorithms together with dimension reduction techniques to extract relevant features and to cluster various types of data sets, for example all company documents by topic or the past history of market days in order to extract meaningful information.                    

Mobirise

PROPRIETARY BACKTESTING AND VALIDATION MODULE

Brain has developed a proprietary backtesting and validation approach that we use to test and optimize our models, so that our results are less dependent on the specific historical trajectory markets have undergone. The method can be used also to validate or to optimize third parties’ models.

SERVICES

Brain assists Investment Management firms in the development of their proprietary algorithms.

Leveraging on our competences and coding resources we aim at becoming a client’s partner in validating and optimizing pre-existing algorithms, as well as offering support to new developments.

We would like to support companies at transforming their expertise and investment approach into algorithms. This would add value to the company by deploying across the whole organization what typically is concentrated knowledge.

  • Partnership in model development
  • Algorithm validation and optimization
Brain Services

Brain assists Investment Management firms in the development of their proprietary algorithms.

CASE STUDIES

How and When Financial News Sentiment Responds to Global Events, According to Brain

[29/05/2020 - IEX Cloud Blog] Current times are indeed turbulent again, and for better or worse, financial markets are displaying their high potential to react to these changes on a global scale. Given this new reality, when it comes to data, it's increasingly valuable to be able to identify and process new information, spot emerging relevant topics, and assess their potential impact on financial markets and the economy. To achieve this, investors are ...

Developing Proprietary Models using Natural Language Processing and Machine Learning Strategies

[16/12/2019 - Crux Informatics Blog] Brain is a research company that develops proprietary signals and algorithms for investment strategies. Brain also supports clients in developing, optimizing and validating their own proprietary models.
The Brain platform includes Natural Language Processing (NLP) and Machine Learning (ML) infrastructures which enable clients to integrate state-of-the-art approaches into their strategies ...

The Positive Similarity of Company Filings and the Cross-section of Stock Returns

[SSRN paper by Matúš Padyšák, Quantpedia.com] This research studies the similarity of language used in the filings using data which enables to analyze what type of language is similar. Results show that the similarity of the positive language is the most profitable option. From a practical point of view, the positive similarity effect is examined. Results show that the lowest positive similarity stocks significantly outperform the highest positive similarity stocks. The effect cannot be explained by the common asset pricing models ...

Network Based Evidence of the Financial Impact of Covid-19 Pandemic

[SSRN paper by D.F. Ahelegbey, P. Cerchiello, R. Scaramozzino, Dept Economics, Pavia University] 
How much the largest worldwide companies, belonging to different sectors of the economy, are suffering from the pandemic? Are economic relations among them changing? In this paper, we address such issues by analysing the top 50 S&P companies by means of market and textual data. Our work proposes a network analysis model that combines such two types of information to highlight the connections among companies ...

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contact@braincompany.co

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