Quantitative Researcher, MRM Research

Nico Rosti

I have been working for +17 years as a quantitative researcher, offering my investment research insights to investors through two private companies I have founded (Retracement Levels Ltd. and QUANTRADING AG); more recently I worked as a Portfolio Manager at Capital Theory Investment Management, LLC, a CTA based in Austin, Texas (USA), where I developed and ran automated algorithmic trading strategies for the US Futures and Options markets. 

My research work is focused on the statistical study of the "persistence of trends" and "mean reversion" effects in global Equities, Futures, Indexes, Bonds and FX Spot markets. I have created an original proprietary process (called the "Market Reversal Matrix" or "MRM") that makes extensive use of probabilistic Bayesian models to predict short-term (1 day to few weeks) trend reversals.

I do not use any AI/machine learning processes in my work: all models and algorithms are built and supervised by humans. This approach is very labour-intensive but produces forecasts that have a clearly understandable/explainable rationale (no black-boxes).

Quantitative Researcher

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MRM Research

Quantitative Research

Event-Driven

Chicago Board Options Exchange Volatility Index / Event-Driven

Chicago Board Options Exchange Volatility Index (VIX INDEX)

Chicago Board Options Exchange Volatility Index

<ul>
<li>The <a href="https://www.smartkarma.com/entities/chicago-board-options-exchange-volatility-index" target="_blank" data-smartkarma-citation="entities:31501:1" rel="noopener">VIX INDEX</a> has reached very OVERSOLD levels, it could bounce soon. Our models predict a short-lived bounce, probably 1-week.</li>
<li>An increased VIX could trigger panic selling also in Asia-Pacific markets, dragging down returns and increasing volatility.</li>
<li>The S&amp;P500 is also WEEKLY OVERBOUGHT, the combination of VIX OVERSOLD and SPX OVERBOUGHT for us is a clear indication: <strong>WEEKLY pullback incoming</strong>!</li>
</ul>


The VIX INDEX has reached very OVERSOLD levels, it could bounce soon. Our models predict a short-lived bounce, probably 1-week.
An increased VIX could trigger panic selling also in Asia-Pacific markets, dragging down returns and increasing volatility.
The S&amp;P500 is also WEEKLY OVERBOUGHT, the combination of VIX OVERSOLD and SPX OVERBOUGHT for us is a clear indication: WEEKLY pullback incoming!


EQD | A Quick US/Global Equities Correction IS Possible Soon (...a Really OVERSOLD VIX...)