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

EQD | Global Option Implied Volatility – Consistently Declining Volatility Amid Mixed Markets

EQD / NSE Vol Update / IVs Subdued in Spite of Weakening Equities. Skew Looks Overly Compressed.

EQD | Nifty Banks – Single Stock Options and Relative Value Opportunities

EQD / NSE Vol Update / Risk Premia Marked Down as Tier1 Event Risks Drop off the Calendar

EQD | Nifty 50 – Option Strategy for Bulls and Bears

EQD / NSE Vol Update / US Elections & FOMC Event-Risk Push Vol Regime into High & Up State

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/nifty-index" target="_blank" data-smartkarma-citation="entities:23617:1" rel="noopener">NIFTY Index</a> lately has been correcting for longer than usual, we have to go back to early 2023 to see similar pullbacks.</li>
<li>We don't see any issue with the general trend structure so far, the index's been uptrending strongly since mid-June 2022, this pullback started in September is not worrying us.</li>
<li>We see an opportunity to buy at better prices, hoping to see the index restarting its main uptrend soon. This insight provides analysis to help you reenter the LONG trade.</li>
</ul>


The NIFTY Index lately has been correcting for longer than usual, we have to go back to early 2023 to see similar pullbacks.
We don't see any issue with the general trend structure so far, the index's been uptrending strongly since mid-June 2022, this pullback started in September is not worrying us.
We see an opportunity to buy at better prices, hoping to see the index restarting its main uptrend soon. This insight provides analysis to help you reenter the LONG trade.


EQD | Dropping NIFTY 50 Could Find Support Very Soon