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 | Hang Seng Index Option Strategy - A Contrarian View on the Skew

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

EQD | The HSI Rally: Go LONG Now or Wait?

MRM Research

Quantitative Research

Event-Driven

<ul>
<li>The <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">Hang Seng Index</a> has been falling for the entire month of October, 4 weeks down in a row, then it started a mini-bounce in November. </li>
<li>Our seasonal model says the chances for the index to close November higher are quite dicey, 50/50 at best.</li>
<li>If the <a href="https://www.smartkarma.com/entities/hong-kong-hang-seng-index" target="_blank" data-smartkarma-citation="entities:22899:1" rel="noopener">HSI</a> falls again in November, here below you will find the support levels to buy. If November closes down, the LONG odds for December become very good.</li>
</ul>


The Hang Seng Index has been falling for the entire month of October, 4 weeks down in a row, then it started a mini-bounce in November. 
Our seasonal model says the chances for the index to close November higher are quite dicey, 50/50 at best.
If the HSI falls again in November, here below you will find the support levels to buy. If November closes down, the LONG odds for December become very good.


EQD | If The Hang Seng Index Falls Further...